Bond Pricing and Yield Curve Modeling: A Structural Approach
Volume 20, Issue 1, January 2020, Page 9-10.
View ArticleForecasting significant stock price changes using neural networks....
Stock price prediction is a rich research topic that has attracted interest from various areas of science. The recent success of machine learning in speech and image recognition has prompted...
View ArticleFour-factor model of Quanto CDS with jumps-at-default and stochastic...
In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways. First, it is known since...
View ArticleA Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field....
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion mechanism provides an...
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After 2008, the reputation of bankers took a nosedive, but are bankers really...
âHonesty is the first chapter in the book of wisdom.â Thatâs what Thomas Jefferson, Founding Father and third president of the United States, once said. If thatâs true, then you might think...
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