Perturbation Methods in Credit Derivatives. Colin Turfus
Читать онлайн книгу.
NOTE
18 CHAPTER 12: Rates‐Credit‐FX Hybrid Modelling 12.1 PREVIOUS WORK 12.2 DERIVATION OF RATES‐CREDIT‐FX PRICING KERNEL 12.3 QUANTO CDS REVISITED 12.4 CCDS ON CROSS‐CURRENCY SWAPS REVISITED
19 CHAPTER 13: Risk‐Free Rates 13.1 BACKGROUND 13.2 HULL–WHITE KERNEL EXTENSION 13.3 APPLICATIONS 13.4 BLACK–KARASINSKI KERNEL EXTENSION 13.5 APPLICATIONS 13.6 A NOTE ON TERM RATES NOTES
20 CHAPTER 14: Multi‐Curve Framework 14.1 BACKGROUND 14.2 STOCHASTIC SPREADS 14.3 APPLICATIONS
21 CHAPTER 15: Scenario Generation 15.1 OVERVIEW 15.2 PREVIOUS WORK 15.3 PRICING EQUATION 15.4 HULL–WHITE RATES 15.5 BLACK–KARASINSKI RATES 15.6 JOINT RATES‐CREDIT SCENARIOS NOTES
22 CHAPTER 16: Model Risk Management Strategies 16.1 INTRODUCTION 16.2 MODEL RISK METHODOLOGY 16.3 APPLICATIONS 16.4 CONCLUSIONS NOTES
23 CHAPTER 17: Machine Learning 17.1 TRENDS IN QUANTITATIVE FINANCE RESEARCH 17.2 FROM PRICING MODELS TO MARKET GENERATORS 17.3 SYNERGIES WITH PERTURBATION METHODS NOTES
24 Bibliography
25 Index
List of Tables
1 Chapter 15TABLE 15.1 Model parameters used in USD rates evolution
List of Illustrations
1 Chapter 5FIGURE 5.1 Black–Karasinski prices for
2 Chapter 8FIGURE 8.1 Prices for
3 Chapter 10FIGURE 10.1 Pricing of counterparty risk protection on a cross‐currency swap...
4 Chapter 15FIGURE 15.1 USD rates evolution: Scenario 1FIGURE 15.2 USD rates evolution: Scenario 2FIGURE 15.3 USD rates evolution: Scenario 3FIGURE 15.4 Comparison of 1st and 2nd order results for
Guide
Pages
1 ii
2 iii
3 iv
4 xi
5 xii
6 xiii
7 xv
8 xvi
9 1
10 2
11 3
12 4
13 5
14 6
15 7
16 8
17 9
18