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Ebook Stochastic Intensity Modelling for Structured Credit Exotics

Submitted by wulan on Wed, 02/17/2010 - 07:01

In the last several years the market for credit derivatives experienced an explosive growth both in terms of volume and innovation. The market in standard tranche CDOs became liquid (ITX, CDX, and others) and provides possibilities for hedging correlation risk. At the same time new exotic products are traded over the counter.

These can be split broadly in two categories: default derivatives with complex payoffs (bespoke tranches, CDO2 and others) and derivatives with payoffs that depend of spread levels and mark-to-market (options on tranches, leveraged super-senior, credit CPPI, etc). While the former require modelling of the defaults of individual single name credits, the latter require dynamical modelling of defaults and spread levels. This growth produces a need for new models for valuing and managing the risk.

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PDF Ebook The Negative Calorie Diet

Submitted by antoq on Mon, 08/31/2009 - 01:37

Negative Calories. What are they? Negative Calorie foods have what we will refer to as a —negative calorie effect.“ To give you an idea of what that means, we‘ll go through the process. You eat an apple. The apple you consume has 80 calories however, your body‘s chemical processing, digestion and breakdown of that apple causes you to burn off 100 calories thus, your negative calorie effect is œ20 calories. Can you see the implications of a diet based on this premise?

Let‘s talk about the word diet. What images do you conjure up when you see or hear that word? I think of starving. I think of not ever getting full when I sit down to a meal. I think of all the foods that I like. I think of all the foods that I‘m missing. What do you think?

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Ebook Existence of Solutions and Asset Pricing Bubbles in General Equilibrium Models

Submitted by puput on Thu, 06/24/2010 - 08:12

The theory of general equilibrium is the branch of economic theory that studies the interactions between demand and supply of the different goods in the different markets in order to determine the prices of these goods (while the partial equilibrium analysis considers only the relations between demand and supply of a specific good and the price of the same good).

In general equilibrium analysis some simplifications are usually introduced, in particular it is assumed that:

  • markets are competitive and individuals are optimizing;
  • there is no production (at least in first approximation), agents have fixed endowments of the goods and they must determine only the quantities to exchange (pure exchange economy).
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