In 1976 Black and Cox proposed a structural model where an obligor defaults when the value of its assets hits a certain barrier. In 2001 Zhou showed how the model can be extended to two obligors whose assets are correlated. In this paper we show how the model can be extended to a large number of...

The Hull-White interest rate tree-building procedure was first outlined in the Fall 1994 issue of the Journal of Derivatives. It is becoming widely used by practitioners. This procedure is appropriate for models where there is some function x = f(r) of the short rate r that follows a mean-...

This paper provides a methodology for valuing credit default swaps when the payoff is contingent on default by a single reference entity and there is no counterparty defaultrisk. The paper tests the sensitivity of credit default swap valuations to assumptions about the expected recovery rate. It...

The approach selected is the fabrication of holographic optical elements which will focus to either a line or a point. A concentrating mirror is replicated in the hologram, which consists of dichromate gelatin exposed to a laser beam. The dichromate gelatin can be processed to produce a...