This paper is intended as a pedagogical note to explain CDO and structured financial credit products modeling and some approaches to their pricing. The authors thank the NYU-Polytechnic Institute for the research support through the department of Finance and Risk Engineering and the Topfer Chair

A comparative study of derivative lawsuits would, at first, appear to be a unrewarding task — derivative suits have been lambasted in the United States for failing to serve their intended purpose. Previous scholarship has indicated that derivative suits are highly dependent on unique elements...

This paper addresses minimum-variance hedging of European contingent claims (ECC) in the case where changes to the hedging portfolio can be made only at discrete, pre-decided times. A simple derivation of the minimum-variance hedging strategy is first given in a general setting. The strategy is...

This article analyses how the different equity derivative products (index futures, index options, stock futures and stock options) have fared at NSE in the last ten years i.e. from the year of its introduction 2000-01 to 2009-10 and the shift in trend in terms of usage of different products

Credit risk modeling is about modeling losses. These losses are typically coming unexpectedly and triggered by shocks. So any process modeling the stochastic nature of losses should reasonable include jumps. In this paper we review a few jump driven models for the valuation of CDSs and show how...

This study examines whether information from derivative markets is useful for signaling “hot money” and other large capital flows in an economy where the monetary authority pursues a policy of exchange rate stability. Specifically, this study examines the information content of various Hong...

Bankruptcy law establishes proceedings designed to rehabilitate debtors while protecting creditors, but a series of safe harbors effectively exempts from bankruptcy proceedings certain financial contracts known as derivatives. Accordingly, when a party to a derivative contract goes bankrupt, the...

Close-out netting is a credit risk mitigation process that applies to over-the-counter derivative transactions between a defaulting party and a non-defaulting party. It also applies to repurchase agreements and clearing houses. The process consists of three steps: termination of obligations...