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Credit derivatives - Let's jump together: Pricing credit derivatives - The authors introduce a dynamic multivariate jump-driven model for credit spreads. The model parameters come...
Garcia, Joao; Goossens, Serge; Schoutens, Wim - In: Risk : managing risk in the world's financial markets 21 (2008) 9, pp. 130-133
Persistent link: https://www.econbiz.de/10008107440
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HEDGING: GOING WITH THE FLOW - A useful hybrid technique for hedging contingent cashflows.
Carr, Peter; Lipton, Alex; Madan, Dilip - In: Risk : managing risk in the world's financial markets 13 (2000) 8, pp. 85-90
Persistent link: https://www.econbiz.de/10007048335
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INTRODUCING THE COVARIANCE SWAP - Techniques for hedging by using the correlation between two currency pairs.
Carr, Peter; Madan, Dilip - In: Risk : managing risk in the world's financial markets 12 (1999) 2, pp. 47-51
Persistent link: https://www.econbiz.de/10007058842
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OPTION PRICING: Calibrating and pricing - with embedded local volatility models Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options...
Ren, Yong; Madan, Dilip; Qian, Michael Qian - In: Risk : managing risk in the world's financial markets 20 (2007) 9, pp. 138-143
Persistent link: https://www.econbiz.de/10007797228