6077 Ivy Woods Court
Mason, OH 45040
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plain vanilla options, exotics option
Option, American, European, compound
alternative option pricing, exotics, binomial scheme, continuous time, Black
Interest rate model, square root model, CIR, stochastic differential equation, Feller’s square root condition
Default, risk neutral valuation, credit default swap, constant maturity default swap, equity default swap, asset swap, total return swap, credit linked note, floating rate risky bond, counterparty risk, credit spread.
Bond, coupon bond, present value, floating rate bond, convertible, callable
Credit risk, credit derivatives, risk neutral world, risk neutral probability
Local volatility, smile, Black-Scholes model, implied volatility
Discount factor, risk free bond, Libor, OIS, market risk, mark-to-market valuation, interest rate swap, cross currency swap, stochastic Libor model
Option valuation, risk neutral world and probability
options pricing, risk neutral pricing, local volatility, copula, cds
Black Scholes equation, risk neutral valuation, binomial scheme, arbitrage, risk management, exotics
Black Scholes equation, hedge
default, default bond, reduced form, credit risk
Multiple risky securities valuation, risky bond , default, CDOs valuation, copula
local volatility, call option
Option, derivatives, pricing, dynamic hedging
Stochastic interest rate, stochastic forward rate
option price, dynamic hedging
Spot rate, stochastic FX exchange, stochastic interest rate, stochastic forward rate, LIBOR
.Black Scholes, option, derivatives, pricing, hedging.
. Credit derivatives, risky portfolio valuation, copula, perfect copula, CDS, CDO
Bond, Credit Risk Mark-to-Market, Counterparty Risk, CVA.
cash and carry, forward contract
Option, derivatives, pricing, hedging, risk-neutral probability, local volatility
No-arbitrage pricing, forward contract, derivatives
CDO, equity tranche pricing
market risk, default, default bond, reduced form, credit risk, liquidity, randomization
Forward rate agreement, Market risk, Stochastic Libor model, Interest Rate Swap, Liquidity of Corporate Bonds, Stochastic default intensity
derivatives price, local volatility
Options, derivatives, mark-to-market, counterparty risk, CVA
no arbitrage, mark-to-market, cash flow, market risk, credit risk, reduced form pricing, credit risk, interest rate swap
No arbitrage, mark-to-market, cash flow, market risk, credit risk, reduced form pricing, credit risk
Black Scholes, option, derivatives, hedging, local volatility
Black Scholes, option, derivatives, pricing, dynamic hedging
Variance swap, Black Scholes pricing, risk neutral valuation.
Black Scholes pricing, alternative options pricing.
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