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National University of Singapore (NUS) - Business School and Risk Management Institute
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GARCH option models, stochastic volatility models with jumps, pricing and hedging options
Model-free volatility, stochastic volatility, jump, options, VIX, Constant elasticity of variance
Model-free volatility, stochastic volatility, jumps, options, VIX term structure, Constant elasticity of variance
default, bankruptcy, forward intensity, maximum pseudo-likelihood, forward default probability, cumulative default probability, accuracy ratio
Risk premium, forward looking, GARCH, options, volatility spread, skewness, kurtosis
systematic risk, option prices, implied volatility, skewness
systematic risk, implied volatility, option price structure,equity options
Particle Filter, MCMC, Sequential Monte Carlo Samplers, Bayesian Methods
systematic risk, systemic exposure, systemic fragility, credit risk, operational risk, netting, stress testing, bridge sampling, SIFI
Default probability; Term structure; Privately held firm; Interest charge
default, forward default intensity, pseudo-bayesian inference, sequential monte carlo, self-normalized asymptotics
market liquidity, funding liquidity, distance-to-default, solvency, forward intensity, logistic regression
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Sequential Monte Carlo, Data Clone, Latent Variable, Maximum Likelihood, Monte Carlo Optimization
sequential Monte Carlo, density tempering, Metropolis-Hastings, GARCH, systemic risk, infill estimation
Barrier option, Markov chain
Convergence rate, European option, stochastic volatility
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