credit derivatives pricing with stochastic volatility models
Tài liệu Pricing Stock Options Under Stochastic Volatility And Interest Rates With Efficient Method Of Moments Estimati ppt
Ngày tải lên :
21/12/2013, 01:20
... on op-
tion pricing with time-varying volatility. Many authors have proposed to model asset
return dynamics using the so-called
stochastic volatility
(SV) models. Examples of
these models in continuous-time ... straightforward for constant conditional volatility models
with closed form option pricing formula, but involves two problems for stochastic
conditional volatility models. First, when the closed form ... that the adjustment of stochastic volatility risk alters only the drift term
30
Table 6.5: Relative Pricing Errors (%) of Alternative Models with Diversifiable
Stochastic Volatility Risk
Moneyness...
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Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
Ngày tải lên :
06/03/2014, 04:21
... Schăonbucher, P. (2003). Credit Derivatives Pricing Models: Model, Pricing and
Implementation. Wiley, forthcoming.
D. Brigo, A. Alfonsi: Credit derivatives with shifted square root diffusion models 10
However, ... A. Alfonsi: Credit derivatives with shifted square root diffusion models 9
3.3 Calibrating the joint stochastic model to CDS: Separa-
bility
With the above choice for λ, in the credit derivatives ... diffusion
(SSRD) model for interest rate derivatives and single-name credit derivatives, in
D. Brigo, A. Alfonsi: Credit derivatives with shifted square root diffusion models 11
0 1 2 3 4 5 6 7 8 9 10
−0.005
0
0.005
0.01
0.015
0.02
0.025
Figure...
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Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms doc
Ngày tải lên :
07/03/2014, 19:20
... option. By the use of credit derivatives, the credit risk can be
removed from the balance sheet without having to sell the risky asset.
This general tendency in the credit derivatives market was ... that market participants can “go long credit risk” without a cash payment, and
they can “go short credit risk” with less difficulty and at lower cost than with corporate
bonds.
2.2.2 CDS Indices
While ... contributing
factor to the growth in the credit derivatives market is the high regulatory demand on
the credit risk control side.
Major groups participating in the market for credit derivatives are banks, insurance...
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Tài liệu Credit Derivatives: An Overview pptx
Ngày tải lên :
15/02/2014, 05:20
... securitization represented the extension of credit derivatives to structured
finance, that is, to the combining of derivatives with cash instruments or with other
derivatives to attain a desired exposure. ... be a systematic feature of
credit derivatives markets.
A corollary to the argument that lenders with access to credit protection are
indifferent to risk is that credit derivatives, as do other ... as credit
derivatives although they are in fact interest rate derivatives. Whatever their classifica-
tion, they are relevant to credit derivatives because they are related by arbitrage to
credit...
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Tài liệu Learning Curve Total Return Swaps: Credit Derivatives and Synthetic Funding Instruments ppt
Ngày tải lên :
15/02/2014, 14:20
... methods to price credit derivatives and TR swaps.
Essentially, the pricing of credit derivatives is linked to that of other instruments; however,
the main difference between credit derivatives and ... or bond derivatives is that the latter can be priced and hedged with
reference to the underlying asset, which can be problematic when applied to credit
derivatives. Credit products pricing ... the credit risk from one party to the other. It is
one of the principal instruments used by banks and other financial instruments to manage
their credit risk exposure, and as such is a credit...
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Tài liệu A Beginner''''s Guide to Credit Derivatives ppt
Ngày tải lên :
16/02/2014, 03:20
... quoted with the foreign currency as the base currency.
21
2.2 Stochastic Processes
A stochastic process is defined as a quantity moving with time, in a potentially
random way. If X is a stochastic ... of credit contingent claims.
2.5 Replication and Non-Arbitrage Pricing
In this section, we consider the issue of non-arbitrage pricing of a single
contingent claim, possibly a credit claim, with ... current survival probability with maturity T ,andV
0
is the
current default-free zero with maturity T. Note that contrary to standard equity
option pricing, the pricing measure Q is such that,...
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Credit Card Pricing Developments and Their Disclosure pot
Ngày tải lên :
06/03/2014, 08:20
...
without any credit experience) access to credit, albeit at higher prices. Former Federal Reserve
Governor Lawrence Lindsey has referred to this phenomenon as "the democratization of credit& quot; ... also
noted the same risk-based pricing trend. She observes that "consumers with higher ratios of
unpaid credit card debt to income, and thus [who were] worse credit risks for the issuers, ... dynamics of credit card pricing over the past 10 years
and examines how pricing methods are disclosed to consumers. The analysis concludes by
discussing the challenges that newer, more complex pricing...
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THE J.P. MORGAN GUIDE TO CREDIT DERIVATIVES ppt
Ngày tải lên :
06/03/2014, 08:20
... to pricing could be applied to a Credit Swap, it could also be
applied to pricing of any traditional credit instrument. In fact, option pricing models have
already been applied to credit derivatives ... settlement.
1sr credit default swaps - investment grade
1st credit default options
1st exotic credit derivatives
2nd credit default swaps - emerging
2nd basket default swaps
2nd credit- linked notes
For ... more detailed discussion of the CreditMetrics model and its
required imputs.
1. Background and overview: The case for credit derivatives
What are credit derivatives?
Derivatives growth in the latter...
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Credit Derivatives Explained Market, Products, and Regulations pptx
Ngày tải lên :
06/03/2014, 08:20
... typically develop concentrations of credit risk can use credit derivatives
Credit derivatives can be used by
banks to reduce regulatory capital.
For banks, credit derivatives present
an unfunded ... products.
With the introduction of unfunded products, credit derivatives have for the first
time separated the issue of funding from credit. This has made the credit markets
more accessible to those with ... standard credit derivative. For many, it is
the basic building block of the credit derivatives market. According to the
British Bankers’ Association Credit Derivatives Survey, it dominates the credit
derivatives...
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THE LEHMAN BROTHERS GUIDE TO EXOTIC CREDIT DERIVATIVES ppt
Ngày tải lên :
06/03/2014, 08:20
... Exotic Credit Derivatives
Contents
Foreword 1
Credit Derivatives Products
Market overview 3
The credit default swap 4
Basket default swaps 8
Synthetic CDOs 12
Credit options 23
Hybrid products 28
Credit ... variety of credit instru-
ments of different maturities. They can also
be extended to price more exotic credit
derivatives. It is for these reasons that they
are used for credit derivatives pricing. ... Guide to Exotic Credit Derivatives
the insurance share of credit derivatives
usage has increased to 14% from 9% the
previous year.
More recently, the growth in the usage of
credit derivatives by...
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Báo cáo khoa học: "Combining Speech Retrieval Results with Generalized Additive Models" pptx
Ngày tải lên :
08/03/2014, 01:20
... with multiple transcriptions of the
same content, we are again presented with new op-
portunities. In this paper we compare some well
known techniques for combination of retrieval re-
sults with ... 2008.
c
2008 Association for Computational Linguistics
Combining Speech Retrieval Results with Generalized Additive Models
J. Scott Olsson
∗
and Douglas W. Oard
†
UMIACS Laboratory for Computational ... benefit from these combination
models. This includes the task of cross-language re-
trieval, as well as the retrieval of documents obtained
by optical character recognition.
Within speech retrieval,...
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Báo cáo khoa học: "Segmented and unsegmented dialogue-act annotation with statistical dialogue models∗" ppt
Ngày tải lên :
08/03/2014, 02:21
... experiments
were performed with the Dihana database. Ta-
ble 5 presents the results with the segmented cor-
pus, and Table 6 presents the results with the un-
segmented corpus (with WIP=50, which gave ... corpora with very different features were
used in the experiment with the models proposed
in Section 2. The SwitchBoard corpus is com-
posed of human-human, non task-oriented dia-
logues with a ... Language
Processing. In recent years, some statis-
tical dialogue models have been proposed
to cope with the dialogue problem. The
evaluation of these models is usually per-
formed by using them as annotation...
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Báo cáo "Filtering for stochastic volatility from point process observation " ppt
Ngày tải lên :
14/03/2014, 13:20
... for stochastic volatility models was given by J. R.
Stroud, N. G. Polson and P. M
ã
uller [6].
These authors introduced also a sequential parameter estimation in stochastic volatility models
with ... elements in financial models as that of interest rate ( Vacisek, Ho-Lee, Hull-White,
etc.) or stochastic volatility of asset pricing.
Let
X =(X
t
,t≥ 0) be a stochastic process with initial value ... for Stochastic Volatility Models, State Space and Unobserved
Components Models (Harvey, Koopmans and Shephard, Eds.) (2004) 236.
[7] M. Johannes, N.G. Polson, J. Stroud, Nonlinear Filtering of Stochastic...
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C++ Design Patterns and Derivatives Pricing pptx
Ngày tải lên :
14/03/2014, 23:20
... this book we work exclusively
with examples from derivatives pricing.
We do not attempt to cover all sorts of financial models but instead examine a
few in depth with the objective at all times ... DERIVATIVES PRICING
2nd edition
Design patterns are the cutting-edge paradigm for programming in object-oriented lan-
guages. Here they are discussed in the context of implementing financial models ... way of programming that allows us not just to add
functionality without modifying dependent files, but also to be able to do so without
having to recompile existing files.
In fact, any solution...
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Interest Rates and The Credit Crunch: New Formulas and Market Models potx
Ngày tải lên :
15/03/2014, 07:20
... introducing stochastic volatility,
considering a general dynamics that contains as a particular case all stochastic volatility
LMMs known in the financial literature.
The analysis with two distinct ... discount
curve.
As far as derivatives pricing is concerned, however, it is still not clear how to account for
these new market features and practice. Whe n pricing interest rate derivatives with a given
model, ... function of time
and volatility, the stochastic volatility V
k
is an adapted process, and Z
d
= {Z
d
1
, . . . , Z
d
M
}
is again an M-dimensional Q
T
D
-Brownian motion with instantaneous correlation...
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