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Stochastic processes / Finance / Black–Scholes / Credit default swap / Variance gamma process / Stochastic differential equation / Credit rating agency / Credit risk / Implied volatility / Mathematical finance / Financial economics / Statistics


CREDIT BARRIER MODELS CLAUDIO ALBANESE, GIUSEPPE CAMPOLIETI, OLIVER CHEN, AND ANDREI ZAVIDONOV A BSTRACT. The model introduced in this article is designed to provide a consistent representation for both the real-world an
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Document Date: 2014-03-17 15:14:18

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City

Washington / /

Company

Moodys / Cox / E XACT SOLUTIONS / Standard&Poor / /

Country

United States / Canada / /

Facility

Warwick University / Cornell University / Stanford University / /

IndustryTerm

credit risk management / scenario generation algorithms / Possible applications / /

Organization

Moody’s Investors Service / National Science and Engineering Council of Canada / Graduate School / Stanford University / US Federal Reserve / INSEAD / Warwick University / NYU / Cornell University / /

Person

Stewart Hodges / Kolmogorov / CLAUDIO ALBANESE / Marco Avellaneda / Raphael Douady / ANDREI ZAVIDONOV / GIUSEPPE CAMPOLIETI / Peter Carr / Ming Huang / OLIVER CHEN / Petter Wiberg / /

Position

underlying driver / forward / /

Product

A-15 / A-14 / /

ProvinceOrState

Washington / /

PublishedMedium

Journal of Finance / Review of Financial Studies / Financial Analysts Journal / /

SportsLeague

Stanford University / /

Technology

Monte-Carlo scenario generation algorithms / /

URL

www.mathpoint.ca / /

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