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Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
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investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative …Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently … instruments - variance swaps. In this paper first we introduse the general idea of the volatility trading using variance swaps …
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. The weather derivative market is therefore incomplete. This paper implements a pricing methodology for weather derivatives …
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Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...
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