We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Supported by several recent investigations, the empirical pricing kernel (PK) puzzle might be
considered as a stylized fact. Based on an economic model with reference-dependent …

Modelling the dynamics of credit derivatives is a challenging task in finance and economics.
This work studies risk of collateralized debt obligations (CDOs) by investigating the evolution …

In this paper, we propose a latent variable credit risk model for large loan portfolios. It
employs the concept of nested Archimedean copulas to account for both a sector-type …

Securitization has been a significant breakthrough in our ability to manage financial risk. In
the same way that a futures contract permits exposure to price risk to be separated from …

Modelling the dynamics of credit derivatives is a challenging task in finance and economics.
The recent crisis has shown that the standard market models fail to measure and forecast …

This chapter provides a simple model with a small number of parameters and a high degree
of analytical tractability for a general option‐based pricing of credits derivatives. It focuses on …

For several years leading up to the outbreak of the financial crisis, growth in the use of
arbitrage collateralized debt obligations (CDOs) was explosive. In this paper, we discuss …

We discuss the equity-based pricing of CDX tranches within a structural dynamic approach
and focus on the valuation impact of general model specifications. Therefore, we examine …