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Frontiers in Quantitative Finance: credit risk and volatility modeling

Author

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  • Rama Cont

    (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Rama Cont, 2008. "Frontiers in Quantitative Finance: credit risk and volatility modeling," Post-Print hal-00437588, HAL.
    • Handle: RePEc:hal:journl:hal-00437588
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Hsieh, Ming-Hua & Lee, Yi-Hsi & Shyu, So-De & Chiu, Yu-Fen, 2019. "Estimating multifactor portfolio credit risk: A variance reduction approach," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    2. Rama Cont & Andreea Minca, 2013. "Recovering portfolio default intensities implied by CDO quotes," Post-Print hal-00413730, HAL.
    3. Akihiko Takahashi & Yukihiro Tsuzuki, 2014. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-341, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CIRJE F-Series CIRJE-F-874, CIRJE, Faculty of Economics, University of Tokyo.
    5. E. Benhamou & E. Gobet & M. Miri, 2010. "Expansion Formulas For European Options In A Local Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 603-634.
    6. Philippe Jacquinot & Nikolay Sukhomlin, 2010. "A direct formulation of implied volatility in the Black-Scholes model," Post-Print hal-02533014, HAL.
    7. Akihiko Takahashi & Yukihiro Tsuzuki, 2014. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-350, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2017. "Interacting default intensity with a hidden Markov process," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 781-794, May.
    9. Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-305, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    10. Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
    11. Philippe Jacquinot & Nikolay Sukhomlin, 2010. "A direct formulation of implied volatility in the Black- Scholes model," Post-Print hal-02527822, HAL.
    12. Puneet Pasricha & Dharmaraja Selvamuthu & Selvaraju Natarajan, 2022. "A contagion process with self-exciting jumps in credit risk applications," Papers 2202.12946, arXiv.org.
    13. Amel Bentata & Rama Cont, 2015. "Forward equations for option prices in semimartingale models," Finance and Stochastics, Springer, vol. 19(3), pages 617-651, July.
    14. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    15. Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
    16. Neil Johnson & Guannan Zhao & Eric Hunsader & Jing Meng & Amith Ravindar & Spencer Carran & Brian Tivnan, 2012. "Financial black swans driven by ultrafast machine ecology," Papers 1202.1448, arXiv.org.
    17. Akihiko Takahashi & Yukihiro Tsuzuki, 2014. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CIRJE F-Series CIRJE-F-917, CIRJE, Faculty of Economics, University of Tokyo.
    18. Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.
    19. Cont, Rama & Kokholm, Thomas, 2009. "A Consistent Pricing Model for Index Options and Volatility Derivatives," Finance Research Group Working Papers F-2009-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    20. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
    21. Cantia, Catalin & Tunaru, Radu, 2017. "A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 21-35.
    22. Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.

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