Perturbation Methods in Credit Derivatives. Colin Turfus

NOTE

      18  CHAPTER 12: Rates‐Credit‐FX Hybrid Modelling 12.1 PREVIOUS WORK 12.2 DERIVATION OF RATES‐CREDIT‐FX PRICING KERNEL 12.3 QUANTO CDS REVISITED 12.4 CCDS ON CROSS‐CURRENCY SWAPS REVISITED

      19  CHAPTER 13: Risk‐Free Rates 13.1 BACKGROUND 13.2 HULL–WHITE KERNEL EXTENSION 13.3 APPLICATIONS 13.4 BLACK–KARASINSKI KERNEL EXTENSION 13.5 APPLICATIONS 13.6 A NOTE ON TERM RATES NOTES

      20  CHAPTER 14: Multi‐Curve Framework 14.1 BACKGROUND 14.2 STOCHASTIC SPREADS 14.3 APPLICATIONS

      21  CHAPTER 15: Scenario Generation 15.1 OVERVIEW 15.2 PREVIOUS WORK 15.3 PRICING EQUATION 15.4 HULL–WHITE RATES 15.5 BLACK–KARASINSKI RATES 15.6 JOINT RATES‐CREDIT SCENARIOS NOTES

      22  CHAPTER 16: Model Risk Management Strategies 16.1 INTRODUCTION 16.2 MODEL RISK METHODOLOGY 16.3 APPLICATIONS 16.4 CONCLUSIONS NOTES

      23  CHAPTER 17: Machine Learning 17.1 TRENDS IN QUANTITATIVE FINANCE RESEARCH 17.2 FROM PRICING MODELS TO MARKET GENERATORS 17.3 SYNERGIES WITH PERTURBATION METHODS NOTES

      24  Bibliography

      25  Index

      26  End User License Agreement

      List of Tables

      1 Chapter 15TABLE 15.1 Model parameters used in USD rates evolution

      List of Illustrations

      1 Chapter 5FIGURE 5.1 Black–Karasinski prices for

maturity cap with 6m LIBOR tenorFIGURE 5.2 Black–Karasinski prices for caps with different maturitiesFIGURE 5.3 Dependence of Black–Karasinski prices for 5y caps on volatility l...FIGURE 5.4 Dependence of Black–Karasinski prices for 5y caps on volatility m...FIGURE 5.5 Dependence of ATM Black–Karasinski prices for 5y caps on IR curve...

      2 Chapter 8FIGURE 8.1 Prices for

maturity CDSFIGURE 8.2 Correlation impact on prices for

maturity IR swap extinguisher...FIGURE 8.3 Correlation impact on prices for IR swap extinguisher with delaye...FIGURE 8.4 IR volatility impact on prices for IR swap extinguisher with dela...FIGURE 8.5 Prices for a CCDS on a 10y IR swap underlying

      3 Chapter 10FIGURE 10.1 Pricing of counterparty risk protection on a cross‐currency swap...

      4 Chapter 15FIGURE 15.1 USD rates evolution: Scenario 1FIGURE 15.2 USD rates evolution: Scenario 2FIGURE 15.3 USD rates evolution: Scenario 3FIGURE 15.4 Comparison of 1st and 2nd order results for

      Guide

      1  Cover Page

      2  Table of Contents

      3  Begin Reading

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