Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
John Wiley & Sons, Mar 9, 2009 - Business & Economics - 300 pages
The Petit D'euner de la Finance–which author Rama Cont has been co-organizing in Paris since 1998–is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.
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A Moment Approach to Static Arbitrage
CHAPTER 2On BlackScholes Implied Volatilityat Extreme Strikes
An Overview of Factor Modeling for CDO Pricing
Factor Distributions Implied by Quoted CDOSpreads 8 1 INTRODUCTION
Modeling CreditRisk 6 1 WHATISTHE PROBLEM?
TopDown versus BottomUp Approaches
Forward Equations for Portfolio Credit Derivatives
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approximation arbitrage asset assumption asymptotic base correlation BlackScholes bottomup calibration CDO tranche premiums cliquet collateralized debt obligations compound correlation computed conditional default probability constituent intensities copula models correlation smile corresponding credit derivatives credit risk default intensities default process delta hedging density dependence distribution function dynamics equation example factor copula factor models FIGURE framework Gaussian copula given heat kernel Heston model homogeneous implied volatility independent inthe inverse ITRAXX Journal Journalof jump latent variables Lévy process local volatility loss distribution market quotes martingale maturity mixture distribution mixture probability numerical obtain ofthe onefactor option pricing parameters payoff percent Poisson process portfolio credit derivatives portfolio intensity pricing of CDO random variables result riskneutral SABR model semidefinite stochastic volatility stochastic volatility models tailwing formula term structure theorem topdown model tothe tranche spreads vanilla options variance swap volatility of volatility