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A General First Passage Time Model For Multivariate Credit Spreads And A Note On Barrier Option Pricing
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Book Synopsis A General First Passage Time Model for Multivariate Credit Spreads and a Note on Barrier Option Pricing by : Stefanie Kammer
Download or read book A General First Passage Time Model for Multivariate Credit Spreads and a Note on Barrier Option Pricing written by Stefanie Kammer and published by . This book was released on 2007 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Credit Risk Modeling by : David Lando
Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
Book Synopsis First Passage Time Density Approach to Pricing Barrier Options and Monte Carlo Simulation of the HJM Interest Rate Model by : Zhenyu Duanmu
Download or read book First Passage Time Density Approach to Pricing Barrier Options and Monte Carlo Simulation of the HJM Interest Rate Model written by Zhenyu Duanmu and published by . This book was released on 1994 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The First Passage Time Problem in Contingent Valuation by : Jihe Song
Download or read book The First Passage Time Problem in Contingent Valuation written by Jihe Song and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces the concept of first passage time to the general readers and demonstrates its importance and general applications to option pricing and models of real options. Properties of the first passage probability are derived and their implications are indicated.
Book Synopsis The Handbook of Fixed Income Securities, Chapter 33 - Credit Risk Modeling by : Frank Fabozzi
Download or read book The Handbook of Fixed Income Securities, Chapter 33 - Credit Risk Modeling written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Book Synopsis Credit Spread Options for Beginners by : Freeman Publications
Download or read book Credit Spread Options for Beginners written by Freeman Publications and published by . This book was released on 2020-11-22 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: What if you could get an extra $100, $200 or even $500 deposited directly into your brokerage account within the next 24 hours? That might sound impossible... but with credit spreads... it's not just a possibility... it's a certainty. Because with credit spreads, every single trade pays you when you enter it. And you can use these to generate safe returns, no matter what happens to your stock. Unlike regular options trading, you don't even need to guess the direction of a stock, or what price it will be in a month. You only have to guess a price range. And you can use this strategy to generate income on stocks you don't even own... even if those stocks are moving sideways. Plus by focusing on only the most reliable moves - you can win as often as 85 times out of every 100 trades - which means you pile up profits that others can only dream about! All of this without paying a "trading guru" thousands of dollars to learn their system. Here's just a fraction of what you'll learn inside the book: The 8 criteria we use to select the best stocks to write credit spreads - Page 85 The vital difference between naked and uncovered calls - Page 55 10 examples of stock you should never use to trade credit spreads. Amateurs do this all the time and you can lose as much as $31,000 on a single trade. Learn why these stocks are so dangerous and what to do instead - Page 86 How to automatically set up take profit levels so you only have to spend a couple minutes each month managing your trades - Page 104 Options Greeks explained in 10 minutes - Page 44 Exactly what level the VIX should be at before you sell a spread. A backtest implementing this one tweak made the strategy 50% more profitable over 10 years worth of trades - Page 96 A simple strategy for selecting the right strike price for your options - Page 160 The only 3 technical indicators you need to know for credit spreads. Ignore everything else, you only need these 3 beginner friendly metrics to get started - Page 70 No strategy is risk-free, but on page 101 we show you how to set up your trades to avoid any big losses How to find the best credit spreads stocks for free. Stock scanning services will charge you $300 a year for this information, but our approach costs nothing and lists the exact same companies - Page 81 Plus, inside the book you get free access to a 7 part video course covering every aspect of profitable investing So even if you've never used options before, the book walks you through everything step by step. You'll find everything explained in plain English, free from technical jargon. Even if you get stuck, you can always send us an email (provided inside the book) or reach out in our private investing community on social media - we're always happy to help with any questions you might have. And remember... bank CD's will only pay you between 0% and 1%... the dividend yield on the S&P 500 is around 2%... and 5 to 10 year municipal bonds will only pay between 2% and 3%. But if you use what's inside this book, you could have the opportunity to earn so much more than that. And when you receive just a single premium from one of these trades (which is paid into your account instantly) it will cover the cost of this book 10x over. To get your copy right now, just scroll up and click "add to cart"
Book Synopsis Default Implied Volatility for Credit Spread by : C.K. Zheng
Download or read book Default Implied Volatility for Credit Spread written by C.K. Zheng and published by . This book was released on 1999 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple reduced-form approach to pricing credit derivatives. The definition of default is purely based on the market value of a risky bond and its potential recovery value. A risky bond is treated as a riskless bond with an embedded short position on a barrier option. The risky bond market implicitly prices this barrier option. The default implied volatility (DIV) curve for credit spread is derived from the values of barrier options. The DIV curve is useful for pricing volatility-sensitive credit derivatives. In this paper, we show how the DIV curve is used to consistently price a credit spread put option and a first-to-default swap. The correlation matrix of reference entities' credit spreads (not default arrival times) is used for pricing a first-to-default swap.
Book Synopsis Credit Spread Options for Beginners 2021: Crash Course to Find Out how to Trade with the Credit Spread by : Collane LV
Download or read book Credit Spread Options for Beginners 2021: Crash Course to Find Out how to Trade with the Credit Spread written by Collane LV and published by . This book was released on 2021-10-31 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book you will learn: The 8 criteria we use to select the best stocks to write credit spreads The vital difference between naked and uncovered calls 10 examples of stocks you should never use to trade credit spreads. Amateurs do this all the time and you can lose up to $ 31,000 on a single trade. Find out why these titles are so dangerous and what to do instead How to automatically set take profit levels so you only have to spend a couple of minutes each month managing your trades Greek options explained in 10 minutes Exactly what level the VIX should be at before selling a spread. A backtest implementing this tweak made the strategy 50% more profitable in 10 years of operation A simple strategy for selecting the right strike price for your options The only 3 technical indicators you need to know for credit spreads. Ignore everything else, you just need these 3 beginner metrics to get started No strategy is risk-free, but on page 101 we show you how to set up your trades to avoid big losses How to find the best credit spread stocks for free. Inventory Scanning Services will charge you $ 300 per year for this information, but our approach costs nothing and lists exactly the same companies
Download or read book Credit Spreads written by Boon Casey and published by Judith Laverty. This book was released on 2017-08-17 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are you Looking for a way to put more money back into your pocket, month after month after month? Learning about Credit Spreads may be your ticket! Discover the benefits of Credit Spreads as your GO TO trading strategy. Learn how you can trade Credit Spreads easily, without the need to be an expert. When it comes to Options Trading, because Credit Spreads is a type of Options Trading, people often think it is too difficult and technical. This book puts that notion to rest. You will see that Credit Spreads can be straight forward and a low risk form of investing. This book is an introduction to the fundamentals of trading Credit Spreads. Start with the basics. Once you have a comfortable grasp of how Credit Spreads work, you will have started to make some profits. This method is low risk. Once you set it up, you can count on it to provide you with a consistent shot of extra cash, for you to use as you wish! After you have Credit Spreads churning out income for you, you can then decide it this is the only type of trading you want to do, or, you can consider adding another form of trading. Scale up and Diversify! Use the profits from your Credit Spreads, then it really becomes risk free! But only when you are ready. Because Credit Spreads are so Low Risk, they are ideal for retirement. Who should not buy this book? Someone who is looking for a how to course. This is not a course, it is book that gives the concepts and fundamental that underlie Credit spreads. The goal is to get you started in your trading career. Be Comfortable, earn profits! Please order Credit Spreads: Beginners Guide to Low Risk, Secure, Easy to Manage, Consistent Profits for Long Term Wealth Creation and let me show you just how inviting Credit Spreads can be!
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis High Probability Option Credit Spreads by : Dan Passarelli
Download or read book High Probability Option Credit Spreads written by Dan Passarelli and published by Wiley. This book was released on 2013-09-16 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This Annals volume presents four scholarly meeting reports: (1) Application of combined omics platforms to accelerate biomedical discovery in diabesity; (2) Prioritizing health disparities in medical education to improve care; (3) The paradox of overnutrition in aging and cognition; and vitamin D: beyond bone. Diabesity has become a popular term to describe the specific form of diabetes that develops late in life and is associated with obesity. While there is a correlation between diabetes and obesity, the association is not universally predictive. Defining the metabolic characteristics of obesity that lead to diabetes, and how obese individuals who develop diabetes different from those who do not, are important goals. The use of large-scale omics analyses (e.g., metabolomic, proteomic, transcriptomic, and lipidomic) of diabetes and obesity may help to identify new targets to treat these conditions. This report discusses how various types of omics data can be integrated to shed light on the changes in metabolism that occur in obesity and diabetes. Despite yearly advances in life-saving and preventive medicine, as well as strategic approaches by governmental and social agencies and groups, significant disparities remain in health, health quality, and access to health care within the United States. The determinants of these disparities include baseline health status, race and ethnicity, culture, gender identity and expression, socioeconomic status, region or geography, sexual orientation, and age. In order to renew the commitment of the medical community to address health disparities, particularly at the medical school level, we must remind ourselves of the roles of doctors and medical schools as the gatekeepers and the value setters for medicine. Within those roles are responsibilities toward the social mission of working to eliminate health disparities. This effort will require partnerships with communities as well as with academic centers to actively develop and to implement diversity and inclusion strategies. Besides improving the diversity of trainees in the pipeline, access to health care can be improved, and awareness can be raised regarding population-based health inequalities. Populations of many countries are becoming increasingly overweight and obese, driven largely by excessive calorie intake and reduced physical activity; greater body mass is accompanied by epidemic levels of comorbid metabolic diseases. At the same time, individuals are living longer. The combination of aging and the increased prevalence of metabolic disease is associated with increases in aging-related comorbid diseases such as Alzheimer's disease, cerebrovascular dementia, and sarcopenia. Here, correlative and causal links between diseases of overnutrition and diseases of aging and cognition are explored. In recent years, vitamin D has been received increased attention due to the resurgence of vitamin D deficiency and rickets in developed countries and the identification of extraskeletal effects of vitamin D, suggesting unexpected benefits of vitamin D in health and disease, beyond bone health. The possibility of extraskeletal effects of vitamin D was first noted with the discovery of the vitamin D receptor (VDR) in tissues and cells that are not involved in maintaining mineral homeostasis and bone health, including skin, placenta, pancreas, breast, prostate and colon cancer cells, and activated T cells. However, the biological significance of the expression of the VDR in different tissues is not fully understood, and the role of vitamin D in extraskeletal health has been a matter of debate. This report summarizes recent research on the roles for vitamin D in cancer, immunity and autoimmune diseases, cardiovascular and respiratory health, pregnancy, obesity, erythropoiesis, diabetes, muscle function, and aging. NOTE: Annals volumes are available for sale as individual books or as a journal. For information on institutional journal subscriptions, please visit http://ordering.onlinelibrary.wiley.com/subs.asp?ref=1749-6632&doi=10.1111/(ISSN)1749-6632
Book Synopsis Credit Dynamics in a First-passage Time Model with Jumps and Latin Hypercube Sampling with Dependence by : Natalie Packham
Download or read book Credit Dynamics in a First-passage Time Model with Jumps and Latin Hypercube Sampling with Dependence written by Natalie Packham and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Spread Model for Fixed-to-Floater Convertible Bonds by : Marco Marchioro
Download or read book Stochastic Spread Model for Fixed-to-Floater Convertible Bonds written by Marco Marchioro and published by . This book was released on 2013 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the problem of evaluating fixed-rate bonds convertible to floating-rate notes when the credit spread is mostly responsible for the convertibility option. We compute the price with deterministic interest rates and credit spreads providing specifications for three different pricing models. In order to provide a better approximation for the bond price in a wide range of market credit conditions, we describe a pricing model that uses a stochastic credit spread. We show how the stochastic model is analytically tractable when the credit spread is normally distributed. Finally we provide numerical results for the deterministic and the stochastic normal model for a market-traded bond. In the numerical example we find that in general the superiority of the stochastic normal model to the deterministic one both in computing the bond price and in providing the credit-spread sensitivities.
Book Synopsis Barrier option pricing through local time by : Martin Walter Günther
Download or read book Barrier option pricing through local time written by Martin Walter Günther and published by . This book was released on 2012 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbooks in Operations Research and Management Science: Financial Engineering by : John R. Birge
Download or read book Handbooks in Operations Research and Management Science: Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Book Synopsis Counterparty Credit Risk Modelling by : Michael Pykhtin
Download or read book Counterparty Credit Risk Modelling written by Michael Pykhtin and published by Riskbooks. This book was released on 2005-01 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry's most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
