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We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
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A landmark environmental law looks ahead

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In late December 1973, the United States enacted what some would come to call “the pitbull of environmental laws.” In the 50 years since, the formidable regulatory teeth of the Endangered Species Act (ESA) have been credited with considerable successes, ob ...
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A contagion process with self-exciting jumps in credit risk applications

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The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
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3 steps to reuse published content in your thesis

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3 steps to know if you can reuse published content in your thesis, who to contact to do so and how credit that in your thesis ...
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