In this paper, we use a hybrid Monte Carlo-optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial information....
Most independent financial advisers are still unprepared for the implementation of the FSA's Retail Distribution Review, according to market participants
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
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Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per H...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.