The financial industry’s invention of complex products such as credit default swaps and other derivatives has been … employee of one of the world’s leading investment banks, takes readers behind the scenes of the equity derivatives business at …

This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We … propose the following theorem. A market for derivatives, which has all the features of a perfect market except completeness … fundamental values of derivatives, and that extreme price movements like price peaks or crashes may have endogenous origin and …

Memorial Prize in Economic Sciences in 1997 for a new method to determine the value of derivatives. After receiving a Ph.D. in …

This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities … default process. The major contribution to previous literature is to allow the estimation of non-linear forward intensities by …

thoroughly studied in the economic literature, a mathematical martingale theory of bubbles, based on an absence of arbitrage has … construct a flow in the space of equivalent martingale measures and we study the shifting perception of the fundamental value of … martingale measure used for pricing. In this way we are able to unify the classical martingale theory of bubbles with a …

We use a model of a bank under perfect competition to examine effects of derivatives for tradeable and non tradeable …