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A Primer on Credit Derivatives
the detailed breakdown of market participants in Table 1, banks and corporations were usually net buyers ... credit risk through 2006 (and projected to 2008). Table 1 illustrates the relative role of the different ...- Authors: Stephen P D'Arcy, James P McNichols, Xinyan Zhao
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives
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Option Pricing by Esscher Transforms
Option ... IV Option Pricing by Esscher Transforms Hans U. Gerber and Elias S.W. Shiu Abstract The Esscher ... fix), let h be a real number such that M(h) = S.~eh~f(x)'dx exists. As a function in x, f(x;h) ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm for valuing ... models can be useful in valuing a broker-dealer's derivative book and analyzing the asset-liability ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models