Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Pede, Nicola"'
Deep learning methods have become a widespread toolbox for pricing and calibration of financial models. While they often provide new directions and research results, their `black box' nature also results in a lack of interpretability. We provide a de
Externí odkaz:
http://arxiv.org/abs/2411.19317
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency. In this s
Externí odkaz:
http://arxiv.org/abs/1512.07256
After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the authorities d
Externí odkaz:
http://arxiv.org/abs/1302.6629
Autor:
BRIGO, DAMIANO1 (AUTHOR) damiano.brigo@imperial.ac.uk, PEDE, NICOLA1 (AUTHOR) n.pede13@imperial.ac.uk, PETRELLI, ANDREA2 (AUTHOR) andrea.petrelli@credit-suisse.com
Publikováno v:
International Journal of Theoretical & Applied Finance. Jun2019, Vol. 22 Issue 4, pN.PAG-N.PAG. 35p.
Autor:
Pede, Nicola
We investigated different ways to model the dependence between the credit and other market risk components in hybrid derivatives. To do so, we used both structural and reduced–form frameworks for credit risk modelling. In particular, we applied res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3a9e05cbf2b8f9ce28f173ad75a66663
Publikováno v:
International Journal of Theoretical & Applied Finance; May2015, Vol. 18 Issue 3, p-1, 31p, 17 Charts, 5 Graphs