In 1976 Black and Cox proposed a structural model where an obligor defaults when the value of its assets hits a certain barrier. In 2001 Zhou showed how the model can be extended to two obligors whose assets are correlated. In this paper we show how the model can be extended to a large number of...

Term-structure models are widely used to price interest rate derivatives, such as swap options and bonds with embedded options. We describe how a general one-factor model of the short rate can be implemented as a recombining trinomial tree and calibrated to market prices of actively traded...

This paper presents a number of new ideas concerned with the implementation of theLIBOR market model and its extensions. It develops and tests an analytic approximationfor calculating the volatilities used by the market to price European swap options fromthe volatilities used to price interest...

Term structure models are widely used to price interest-rate derivatives such as swaps and bonds with embedded options. This paper describes how a general one-factor model of the short-rate can be implemented as a recombining trinomial tree and calibrated to market prices of actively traded...

This paper extends the analysis in Valuing Credit Default Swaps I: No Counter party Default Risk to provide a methodology for valuing credit default swaps that takesaccount of counterparty default risk and allows the payoff to be contingent on defaults by multiple reference entities. It develops...

This paper provides a methodology for valuing credit default swaps when the payoff is contingent on default by a single reference entity and there is no counterparty defaultrisk. The paper tests the sensitivity of credit default swap valuations to assumptions about the expected recovery rate. It...

While savings estimates from introduction of an ADO depend on a range of assumptions, cost savings would be substantial. </AbstractSection> Copyright Adis Data Information BV 2009

Forecasts that the proportion of care provided by intensivists and pulmonologists in the U.S. will decrease below current standards in less than 10 years. While current health care reform initiatives and modification of existing practice patterns may temporarily forestall this problem, most...