In this notice we are comment popular approaches to the credit risk modeling.

We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...

In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...

The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...

In this article we discuss fundamentals of the debt securities pricing. We begin with a generalization of the present value concept. Though the present value is the base valuation method in the modern finance we will illustrate that this concept does not sufficiently accurate in producing...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

People by and large tend to postpone their present consumption for numerous reasons. This postponement of consumption leaves them with surplus money to invest for future consumption. Amongst the number of alternatives avenues present for such investments, gold too tends to be one of them. People...

A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analyzed, including global well-definedness, local convergence, as well as global convergence. Quadratic order of convergence is achieved by either a...