… Dominic O'Kane is an affiliated Professor of Finance at the … Dominic spent seven of his nine
years at Lehman Brothers working as a quant for the credit derivatives trading desk. Dominic …

We present the market standard pricing model for marking credit default swap positions to
market. Our aim is first to explain why credit default swaps require a valuation model, and then …

We extend the Large Homogeneous Portfolio (LHP) approximation to the case of the
Student-t copula, and provide analytic formulae for the density and the cdf of the portfolio loss …

The authors consider memory retrieval in a network of M modules. A module consists of N
neuronal units, each of which is connected to all N-1 other units within the same module, and …

We perform a theoretical and empirical analysis of the relationship between the price of
Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets …

The relationship between the geometrical structure of weight space and replica symmetry
breaking (RSB) in multilayer neural networks is studied using a toy model. The distribution of …

… The views expressed in this report accurately reflect the personal views of Dominic O’Kane
and Saurav Sen, the primary analyst(s) responsible for this report, about the subject …

We discuss the idea that long range cortico-cortical connections might be the substrate for
an autoassociative memory mechanism, whereby features processed locally could be linked …

… The views expressed in this report accurately reflect the personal views of Dominic O’Kane
and Matthew Livesey, the primary analyst(s) responsible for this report, about the subject …

The credit derivatives market has experienced considerable growth over the past five years.
From almost nothing in 1995, total market notional now approaches $1 trillion, according to …