Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

Banks and other lenders often transfer credit risk to liberate capital for further loan
intermediation. This paper aims to explore the design, prevalence and effectiveness of credit …

We study the sources of corporate default clustering in the United States. We reject the
hypothesis that firms' default times are correlated only because their conditional default rates …

We compare some popular CDO pricing models, related to the bottom-up approach.
Dependence between default times is modelled through Gaussian, stochastic correlation …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

In recent years, modeling financial uncertainty using stochastic processes has become
increasingly important, but it is commonly perceived as requiring a deep mathematical …

We revisit a method used by Das et al.(2007)(DDKS) who jointly test and reject a
specification of firm default intensities and the doubly stochastic assumption in intensity …

We introduce closed-form transition density expansions for multivariate affine jump-diffusion
processes. The expansions rely on a general approximation theory which we develop in …

A multiname credit derivative is a security that is tied to an underlying portfolio of corporate
bonds and has payoffs that depend on the loss due to default in the portfolio. The value of a …