Credit Risk based on Hull Chapter 26. Overview Estimation of default probabilities Reducing credit exposure Credit Ratings Migration Credit Default Correlation.
Http:// Equity-to-Credit Problem Philippe Henrotte ITO 33 and HEC Paris Equity-to-Credit Arbitrage Gestion Alternative, Evry, April 2004.
Binnenlandse Francqui Leerstoel VUB 2004-2005 2. Options and investments Professor André Farber Solvay Business School Université Libre de Bruxelles.
Chap 11
Book 1 - 36 - LIBOR vs OIS - The Derivatives Discounting Dilemma
1 Options on Stock Indices, Currencies, and Futures Chapters 15-16.
Index, Currency and Futures Options Finance (Derivative Securities) 312 Tuesday, 24 October 2006 Readings: Chapters 13 & 14.
Option pricing/Leasing contract. The Binomial Option Pricing Model (BOPM) option valuation We begin with a single period. Finding the risk neutral probability.
An Introduction to the Market Price of Interest Rate Risk Kevin C. Ahlgrim, ASA, MAAA, PhD Illinois State University Actuarial Science & Financial Mathematics.
第四章 Brown 运动和 Ito 公式. Chapter 5 European Option Pricing ------ Black-Scholes Formula.
Introduction to Binomial Trees
Index, Currency and Futures Options
