problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the …, practitioners access to new methods for their applications. The e-book design of the text links theory and computational tools in an …

Credit index options cannot be priced as simple vanilla options. In this paper we derive the pricing formula using both … replication method and linear annuity mapping. We develop a model-free process to calculate a VIX-like credit volatility index … based on observable credit index options market. We imply all model parameters from market traded data …