منابع مشابه
Pricing Credit Risk Derivatives
In this paper the pricing of several credit risk derivatives is discussed in an intensity-based framework with both risk-free and defaultable interest rates stochastic and possibly correlated. Credit spread puts and exchange options serve as main examples. The differences to standard interest rate derivatives are analysed. Where possible closed-form solutions are given.
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Electricity spot prices in the emerging power markets are volatile, a consequence of the unique physical attributes of electricity production and distribution. Uncontrolled exposure to market price risks can lead to devastating consequences for market participants in the restructured electricity industry. Lessons learned from the financial markets suggest that financial derivatives, when well u...
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We discuss the valuation of credit derivatives in extreme regimes such as when the time-tomaturity is short, or when payoff is contingent upon a large number of defaults, as with senior tranches of collateralized debt obligations. In these cases, risk aversion may play an important role, especially when there is little liquidity, and utility indifference valuation may apply. Specifically, we an...
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E C O N O M I C R E V I E W Fourth Quarter 2007 The growth of credit derivatives suggests that market participants find them useful for risk management. Figure 1 shows the growth trajectory for credit derivatives from two surveys of derivatives dealers: the International Swaps and Derivatives Association (ISDA) Market Survey, which goes back to 2001, and the Bank for International Settlements (...
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Preface Over the last 11 months, I have done research in the field of wind derivatives for my MSc thesis. I performed this research in close cooperation with Mercurious, and my professor Kees Oosterlee. In October 2012 the MSc thesis project was born at CWI in Amsterdam. That day I met with Kees Oosterlee and Jerry de Leeuw (managing director of Mercurious). Mercurious had spotted the opportuni...
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ژورنال
عنوان ژورنال: Journal of the American College of Cardiology
سال: 2018
ISSN: 0735-1097
DOI: 10.1016/j.jacc.2017.12.016