Hakutulokset: english derivatives
Etsimme kuitenkin kirjoja hakusanalla english derivatives , mikä antoiyhteensä 6 hakutulosta
Interest Rate Derivatives
The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book …
Default Risk in Bond and Credit Derivatives Markets
Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus …
Design of Master Agreements for OTC Derivatives
I first came across the issue of derivatives documentation when writing my diploma thesis on measuring the credit risk ofOTC derivatives while I was an economics student at the …
Pricing Interest-Rate Derivatives
The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to …
Pricing of Derivatives on Mean-Reverting Assets
As already mentioned by Lo and Wang (1995) there is an apparent paradox if we derive standard option pricing formulae for an underlying mean-reverting drift. While the drift has an …
Interest Rate Dynamics, Derivatives Pricing, and Risk Management
There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate …