interesting and how to price them. Afterwards, in section three we move onto the analysis of the trading rule proposed, that is … out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

Energy Price Risk, 1995] approximate formula for pricing a two-asset spread option to the case of a multi-asset basket …

I use index prices and options to estimate the pricing kernel's elasticity, which equals the market price of risk. I …

that an understanding of the dynamics used in model for CDO is required to bring it to par with derivative models used for … other asset classes, such as the risk neutral diffusion models used for equity, currency and commodity options derived from …

on the problem of stress testing of the future value of a portfolio of derivatives through the change of the risk neutral …