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Economics / Merton Model / Credit default swap / Risk-neutral measure / Local volatility / Black–Scholes / Convertible bond / Futures contract / Derivative / Financial economics / Mathematical finance / Finance


Document Date: 2008-11-13 09:17:14

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City

Boston / New York / Ithaca / Philadelphia / Copenhagen / Washington / Glasgow / Hanover / London / New Haven / Chicago / /

Company

Tokyo-Mitsubishi Intl. / Salomon / MKMV Corp. / Ericsson / Archeus Capital Management / Morgan Stanley / Hybrid Securities / Cox / Lehman Brothers / Dow Jones / Derivatives Securities / /

Country

Italy / /

Currency

USD / /

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Facility

Carnegie Mellon University / Northwestern University / Stanford University / University of Illinois / University of Oklahoma / Salomon Center / New York University / Cornell University / Santa Clara University / York University / University of Verona / Baruch College / Dartmouth College / University of Massachusetts / University of California / Yale University / /

IndustryTerm

default products / online version / parsimonious model accounting / online appendix / credit correlation products / protection buyer / credit portfolio products / explicit closed-form solutions / e-companion / /

MarketIndex

S&P 500 / INDU / Statistical Measure / S&P / CDX / /

Organization

University of Oklahoma / SAFE Center / Amos Tuck School of Business Administration / Department of Economics / University of California / Los Angeles / Los Angeles / University of Verona / Verona / Stern School of Business / University of Massachusetts / Amherst / Baruch College / New York / Society for Industrial and Applied Mathematics / Dartmouth College / Yale University / Cornell University / Hybrid Securities Sanjiv R. Das Leavey School of Business / Graduate School / University of Illinois / New York University / New York / Rangarajan K. Sundaram Department of Finance / York University / Stanford University / US Federal Reserve / Carnegie Mellon University / AL AA / Santa Clara University / Santa Clara / Northwestern University / New York / /

Person

David A. Hsieh / Stuart Turnbull / Peter Carr / Rangarajan K. Sundaram / Robert Jarrow / Gary Geng / Mehrdad Noorani / Jan Ericsson / LEA HOM AXL GM IR DD / Santhosh Bandreddi / Christie Several / Rong Fan / Maxime Popineau / Stephen Schaefer / Kian Esteghamat / Sanjiv R. Das / Taras Smetaniouk / Suresh Sundaresan / /

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Position

editor / Parameter Value Forward / Forward / model for subsequent use / /

ProvinceOrState

Illinois / New York / Connecticut / Washington / Pennsylvania / Oklahoma / California / Massachusetts / New Hampshire / /

SportsLeague

Stanford University / /

Technology

simulation / recombination / CAT / /

URL

http /

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