粗糙
发表于 2025-3-28 17:18:09
Empirical Evidence,ttempting to model the underlying for the risk management of derivatives. Derivatives often depend on one or more closing prices within a time period ranging from few months up to several years. Thus the focus in this chapter is a time series of closing prices, although the methods can also be appli
赔偿
发表于 2025-3-28 20:06:42
Equity Derivatives Market,ng the use of single curve modelling has become more complicated since effects such as liquidity, funding costs, credit risk and collateral agreements can no longer be ignored. However, arguably, this complicates the nature of fixed income underlyings rather than creates new ones.
artless
发表于 2025-3-28 23:59:13
Short Volatility Models,ity returns or through a combination of both. Additionally, the volatility process and the return distributions may exhibit jumps. Stochastic volatility models are incomplete and not Markovian in the filtration generated by the stock process. Calibration of stochastic volatility (or indeed any) mode
按时间顺序
发表于 2025-3-29 07:07:25
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NADIR
发表于 2025-3-29 09:25:03
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SAGE
发表于 2025-3-29 13:23:03
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Licentious
发表于 2025-3-29 17:25:36
Credit,ted to the underlyings. In this section the focus is on modelling default times in the context of credit derivatives. Default of the underlying in the case of equity derivatives is discussed in Chapter 13, while counterparty default is covered in Chapter 14.
vasospasm
发表于 2025-3-29 22:51:52
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Rheumatologist
发表于 2025-3-30 01:28:26
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insolence
发表于 2025-3-30 06:21:29
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