the prices of defaultable coupon bonds, asset swap rates and default swap rates for which closed-form solutions are given … formula for options on default swaps is made exact in a modified modelling framework using an analogy to the swap measure, the … default swap measure. …

dates. It shows lending rates and it is used from the Federal Reserve Bank to predict changes in output and economic growth … month Eurodollar futures contract. We analyze the bond yields in relation to time to maturity. We check the difference … between a long – term and a short – term Eurodollar future to see how the curve is changing. Different bond yields with …

volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …