We develop two parsimonious models for pricing multi-name credit derivatives. We derive closed form expression for the loss distribution, which then can be used in determining the prices of tranche and index swaps and more exotic derivatives on these contracts. Our starting point is the model of...

Merchant energy trading companies manage conversion assets to exploit price differences across time, space, and sources of energy in the face of energy futures term structure risk. Financial hedging of this risk is standard practice. Market incompleteness, such as limited futures liquidity,...