-income and interest rate derivatives, and asset-backed securities. A number of these alternative products were created in recent …-income derivatives, introducing the most important models of the term structure and then describing and valuing interest rates caps and …

given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility …

stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …

Nascent markets for credit derivatives and structured credit in Asia and the Pacific were poised for rapid growth when …

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit … derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage …, a credit quality process is driven by an Itô integral with respect to a Brownian motion with stochastic volatility …