1
-
3
of
3
results (0.63 seconds)
Sort By:
-
A Primer on Credit Derivatives
explains the development of the credit derivative market, describes the most common types of credit derivatives ... instruments and explains the role they played in the financial market turmoil of 2008. Basel;Credit default ...- Authors: Stephen P D'Arcy, James P McNichols, Xinyan Zhao
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives
-
Option Pricing by Esscher Transforms
that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
-
Valuing American Options in a Path Simulation Model
demonstrates the accuracy by an example involving a put option on a non-dividend-paying stock for which the exact ... exact premium could be determined. It shows how the use of simulation models can be useful in valuing a ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models