w.defaultrisk.com
Hull, J. and A. White (2004), “Valuation of a CDO and nth to default CDS without Monte Carlo Simulation”,
http://www.defaultrisk.com
Forthcoming Journal of Derivatives, available from
DATA SOURCE: No data required
DEFAULT CORRELATION
ISSUES:
The key difficulty in pricing credit derivatives products is to decide how to correlate the default processes. The
issue here to apply Monte Carlo simulation within the Li model to price various credit products.
SELECTED READING:
Li, D.X. “On default correlation: A Copula Approach”, Risk Metrics, Working Paper, available from
http://www.riskmetrics.com/working_papers.html
Joshi, M and A.S. Kainth, (2004), “Rapid computation of prices and greeks for nth to default swaps in the Li
model”, Quantitative Finance, 4, 3, pp 266-275
Joshi, M (2004) “Applying Importance Sampling to Pricing Single Tranches of CDOs in a one factor Li model”
Working paper Royal Bank of Scotland www.quarchome.com
Hull, J. and M. Predescu amd A. White, (1005), “The Valuation of Correlation-Dependent Credit Derivatives
http://www.rotman.utoronto.ca/%7Ehull/DownloadablePublications/
Using a Structural Model”,
DATA SOURCE: No data required. Empirical applications are possible however the students may have to
use their contacts to acquire the relevant data.
OPTION PRICING W英语论文网 【http://www.51lunwen.org】ITH LONG MEMORY
ISSUES:
Long memory appears to be a prominent feature of volatility of financial asset return. Recent developments of
option pricing have taken this into account. How do these models perform empiricallly?
SELECTED READING:
Bollerlsev, T. and Mikkelsen, H.O., (1996), “Modeling and pricing long memory in stock market volatility",
Journal of Econometrics, 73, 1, pp 151-184.
Taylor S. (2000), “Consequences for option pricing of a long memory volatility models”, Preprint, University of
Lancaster.
DATA SOURCE: Datastream. , Ecowin
AFFINE TERM STRUCTURE MODELS
ISSUES:
Estimation and forecasting of interest rate dynamics by means of affine models of the term structure.
SELECTED READING:
Campbell, J and Lo, A. and MacKinley, A. (1997), “The econometrics of financial markets”, Princeton
University Press.
Piazzesi, M. (2005), “Affine term structure models”, Preprint, University of Chicago.
DATA SOURCE: Datastream. , Ecowin
FORECASTING VOLATILITY WITH UNIVARIATE LONG MEMORY VOLATILITY MODELS
ISSUES:
Long memory appears to be a prominent feature of volatility of financial asset return and many developmen
have been proposed. How do these models perform in terms of out-of.-sample forecasting?
SELECTED READING:
Bandi, F, and Per
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