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| Options On Credit Default Index Swaps* |
| Yunkang Liu and Peter Jäckel |
20 Views |
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The value of an option on a credit default
index swap consists of two parts. The first one is the protection value
due to potential default of the reference names before option expiry date.
The second one depends on the value of the underlying credit default index
swap where the index consists of the remaining survived names at the
option expiry date. This article presents a valuation framework driven by
the distribution of the credit default index swap rate conditioned on the
state of the reference pool at the option expiry date. As an example, the
one-factor Gaussian Copula is used to model the state of the reference
pool of the index at the option expiry date. Conditional on the state of
the reference pool at the expiry date, the option is valued under the
assumption that the conditional forward credit default index swap rate
follows a displaced diffusion (shifted lognormal) law.
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| Can Anyone Solve The Smile Problem? A Post-Scriptum |
| Elie Ayache |
3766 Views |
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The following article is a transcription of one of my longest posts on the Wilmott forums. The thread it appeared in, "Of smile and models," is one of the multiple recent threads where worries and questions are starting to emerge, relative to the smile dynamics.
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| UnRisk, Free Seminar. Structured Products - Pricing & Risk Analytics. Shanghai - 13-Sep-10 |
UnRisk
Free Seminar. Structured Products - Pricing & Risk Analytics. Shanghai.
13-Sep-10, 14:00 - 17:00, Pudong Shangri-La Hotel, Shanghai, China
We want to point out that there are reasons to introduce mathematical schemes that are not common in financial circles and tie them together to know-how packages. We present the UnRisk way of providing process-through consistency for pricing and risk analytics.
And we want to point out that each single task in quantitative finance bear the danger of fundamental mistakes, why those can become horrible in interplay and that there is hope to avoid them and how.
UnRisk and China Quants, Shanghai, UnRisk representative, are pleased to invite you to a free seminar presenting full explanations and the required improvements.
The event will cover:
UnRisk background, technologies, coverage, products, users and uses
Model Types - can model risk be quantified?
Numerical Methods - advantages and traps of Finite Elements? Is Montecarlo just gambling?
Parameter Identification/Calibration - the fit is good, why is the price so bad?
Implementation - What can I learn from the Play Station?
Event benefits:
Exclusive insight ? full explanations of the mathematical schemes, advantages, limits, traps and improvements.
Practical examples - live
Who should attend?
Structurers, quants, front office practitioners, risk professionals, researchers
It is a free event. Places are limited to create the best experience for you.
MORE INFO AND REGISTRATION:
e-mail Mr. Andy Xia: andy@china-quants.com
About UnRisk:
See: http://www.unrisk.com/
About China Quants:
See: http://china-quants.com/quants/index.asp |
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| A position is in the quantitative risk division - NJF460 |
A leading investment bank is looking to fill the following position as soon as possible. The position is in the quantitative risk division and will focus on developing and calibrating mathematical models for VAR, Derivatives Exposure and Economic Capital as well as its applications, (pricing, client profitability, stress testing, portfolio optimisation etc.) The role is situated within a collegial risk quant team. This group is responsible for developing the banks Value-at-Risk methodology to measure and control market risk for internal and external purposes.
The ideal candidate with a background in Mathematics, Physics, Engineering or Econometrics, with a special focus on Statistics and Probability. They will have a PHD/DEA level of education from a leading university and experience programming in one or more of the following languages (C++/Java/VB). We are looking for a well rounded candidate with good communication skills and the ability to explain complex mathematical models in layman terms. Candidates will also need to demonstrate a keen interest in quantitative methods for finance and risk.
The position is advertised at £50k for associate level – up to £55-60k depending on experience for an AVP.
For more details on this role, please call James Kennedy on (0)20 7604 4444 or email your CV to J.kennedy@njfsearch.com
We are also looking for a similar person for a position in Frankfurt, Germany. |
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| Paul
High-frequency Trading: Where are we and how did we get here?
28 06 10: 10:30 AM |
| NNT
My Technical Appendix
16 04 09:2:40 PM |
| Collector
Unpublished, unedited, undated, unread
31 08 10:11:18 PM |
| Emanuel Derman
Aphorism for the Day
07 09 10: 2:42 AM |
| Satyajit Das
Financial Babel
05 09 10: 11:25 AM |
| DCFC
deMorgans Law
22 07 09: 3:04 PM |
| Pablo Triana
Donald Van Deventer´s Self-Serving And Childish Critique
05 08 10: 12:21 AM |
| Jan Dash
Free Opera - NY Grand Opera 2010
12 07 10: 8:34 PM |
| Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM |
| Iris Mack
SEC: Rubin and Prince Knew of Undisclosed Losses on Citigroup Mortgage Assets
10 09 10: 11:03 AM |
| Cuchulainn
Higher Order PDEs and the Curse of Dimensionality
06 06 10: 4:12 PM |
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