Andersen NEW.indd Page 1 This paper presents two new models of portfolio default loss
that extend the standard Gaussian copula model yet preserve tractability and computational …

We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio
default losses. In this framework, models are specified by a two-layer process. The first …

Andersen & Sidenius.indd Page 1 Models with systematic factors are popular in the modeling
of CDOs, mainly owing to their simplicity and tractability. In this small note we provide a …

… where ht supf X j 0 6 6 t g. This is the density relevant for pricing single barrier options, and
we shall presently determine this explicitly as a solution to equation (6). … n j X t < bÀg fX Á Pf …

… The result of such a comparison tells us that the naive drift leads to large mispricing, whereas
when we take wjnr;j 0 prices of zero coupon bonds are reproduced up to tiny errors. For …

A previously developed formalism for the bosonic string is extended to the Neveu-Schwarz-Ramond
string using 2-d superspace techniques throughout. Three-string vertices for NS and …

Covariant N-string amplitudes for the closed bosonic string are analyzed with emphasis on
the relation between ghost zero modes and integration measure over Koba-Nielsen like …

… Then we wish to find (j/tN)[ in the form … Thus, if a factor ~j in Qj acts on a term bjct, the effect
is to replace ~j by ct. … the details, let us see how we reproduce the c(Oc(J)b(O part of eq. (7.8) …

… JL PETERSEN l, JR SIDENIUS 2,3 … [4] JL Petersen, JR Sidenius and AK Tollst6n,
preprint NBI-HE-88-29, to be published. [ 5 ] P. DiVecchia, ML Frau, A. … [ 16 ] JL Petersen …

The textbook treatment of warrants takes as a state variable the total equity value of the firm
and makes explicit allowance for the effects of equity “dilution” when warrants are exercised. …