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...

Price of a financial derivative with unilateral counterparty credit risk equals to the price of an otherwise risk-free derivative minus a credit value adjustment (CVA) component, which can be seen as a call option on investor's NPV with strike 0. Thus modeling volatility of NPV is the foundation...

This paper proposes and makes a comparative study of alternative models for VXX option pricing. Factors such as mean-reversion, jumps, default risk and positive volatility skew are taken into consideration. In particular, default risk is characterized by jump-to-default framework and the...

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...

This paper develops a model of reference-dependent assessment of subjective beliefs in which loss-averse people optimally choose the expectation as the reference point to balance the current felicity from the optimistic anticipation and the future disappointment from the realization.The choice...

Community detection is an important issue to understand the structural and functional properties of complex networks, which still remains a challenging subject. In some complex networks, a node may belong to multiple communities, implying overlapping community structure. Moreover, complex...

Community detection has become an important methodology to understand the organization and function of various real-world networks. The label propagation algorithm (LPA) is an almost linear time algorithm proved to be effective in finding a good community structure. However, LPA has a limitation...

This paper deals with the problem of pricing credit derivatives portfolio—CDO. The article assumes that the systematic factor and idiosyncratic factors subject to the fat-tailed mixed G-VG distribution instead of the traditional Gaussian distribution in the framework of factor model. Thus, the...

Kimura and Shinohara [T. Kimura, T. Shinohara, Monte Carlo analysis of convertible bonds with reset clauses, European Journal of Operational Research 168 (2006) 301-310] analyze the value of a non-callable convertible bond with a reset clause. For a reset convertible bond, the conversion ratio...