Since March 26, 2004, when the CBOE Futures Exchange (CFE) began trading futures written on S&P500 volatility index (VIX), volatility has become a widely accepted asset class as trading, diversifying and hedging vehicle by traders, investors and portfolio managers over the past few years. On...

Since March 26, 2004, when the CBOE Futures Exchange (CFE) began trading futures written on S&P500 volatility index (VIX), volatility has become a widely accepted asset class as trading, diversifying and hedging vehicle by traders, investors and portfolio managers over the past few years. On...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density...