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Integrating credit derivatives and securitisation technology: the collateralised synthetic obligation

Choudhry, Moorad - In: Credit derivatives : the definitive guide, (pp. 193-236). 2004

Persistent link: https://www.econbiz.de/10002798927

An introduction to credit derivatives

Choudhry, Moorad - 2004

Persistent link: https://www.econbiz.de/10001808903

Adapted Hedging

Madan, Dilip B. - 2016

of time. The underlying process has a single parameter, the constant variance rate of the process. Delta hedging using … hedging. The hedging strategies are implemented for stylized businesses represented by dynamic volatility indexes. The … unity and the square. Numerous hedging strategies may be run using different powers and biases in the probability of an up …

Persistent link: https://www.econbiz.de/10012988873

The credit default swap basis

Choudhry, Moorad - 2006 - 1. ed.

Persistent link: https://www.econbiz.de/10003339758

It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and pricing density modeling

Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - In: Risks : open access journal 9 (2021) 11, pp. 1-19

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...

Persistent link: https://www.econbiz.de/10012704022

Risk Premia in Option Markets

Madan, Dilip B. - 2015

Risk premia are related to price probability ratios or for continuous time pure jump processes the ratios of jump arrival rates under the pricing and physical measures. The variance gamma model is employed to synthesize densities with risk premia seen as the ratio of the three parameters. The...

Persistent link: https://www.econbiz.de/10013018782