financial or insurance derivatives products. For high-dimensional American options, Monte Carlo simulation is generally regarded …

market for mortgage backed securities or credit derivatives. Moreover, the observed behavior of traders and institutions that …

an approach to derivatives instruments used to temper or even eliminate them. To illustrate the use of these derivatives …

for equities. Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change … crude oil derivatives transactions, and the systematic risk exposure effect of crude oil derivatives transactions. In … crude oil mixed with equities, this study then examines the value effect of crude oil derivatives transactions by oil and …

credit derivatives. This paper will examine the governmental and private regulatory systems that aided the proliferation of … alike to their destructive power, focusing on credit default swaps (CDS), the most common credit derivative. Motivated by a …

important for emerging market countries that are experiencing remarkable growth in derivatives markets. Using firm level data …, we report a significant fall in exposure over the past 10 years and relate this to higher derivatives market …-Dumas (1984) model. Next, we follow an indirect approach to infer derivatives market participation at the firm level. Finally, we …

of risk management. Most courses on derivatives, futures and options, and financial engineering are taught from the … corporation, the utility, the software firm — any potential end-user of derivatives, but not the dealer. Among the topics we will …

optimally choose dynamic capital structure and default times. For a dynamic cross-section of firms, our model endogenously … generates a realistic average term structure and time series of actual default probabilities and credit spreads, together with a …

Default on sovereign debt is a form of political risk. Issuers and creditors have responded to this risk both by …