PRICING EQUITY DEFAULT SWAPS CLAUDIO ALBANESE AND OLIVER CHEN Abstract. Pricing credit-equity hybrids is a challenging task as the established pricing methodologies for equity options and credit derivatives are quite dif - Local volatility - Document - PDFSEARCH.IO

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	PRICING EQUITY DEFAULT SWAPS CLAUDIO ALBANESE AND OLIVER CHEN Abstract. Pricing credit-equity hybrids is a challenging task as the established pricing methodologies for equity options and credit derivatives are quite dif Add to Reading List Document Date: 2014-03-17 15:14:19 Open Document File Size: 261,84 KB Share Result on Facebook Company CDS / JP Morgan / Cox / / Country Canada / / Currency USD / / Event Person Communication and Meetings / Person Travel / / Facility Imperial College / / MarketIndex DJ Euro Stoxx 50 / / Organization Natural Science and Engineering Research Council of Canada / Imperial College / / Person Chris Long / CLAUDIO ALBANESE / Tom Picking / OLIVER CHEN / / Position RT / representative / e−rT / / SocialTag Mathematical finance United States housing bubble Options Credit default swap Derivative Credit derivative Stochastic volatility Convertible bond Local volatility Financial economics

PRICING EQUITY DEFAULT SWAPS CLAUDIO ALBANESE AND OLIVER CHEN Abstract. Pricing credit-equity hybrids is a challenging task as the established pricing methodologies for equity options and credit derivatives are quite difAdd to Reading List