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| | JEL Classification C60
"General: Mathematical Methods and Programming"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C60 classification. (sorted by date) Single Name Credit Default Swaptions Meet Single Sided Jump Models
by Henrik Jönsson of EURANDOM, Eindhoven, and
Wim Schoutens of Katholieke Universiteit Leuven
(212K PDF) -- 18 pages -- October 3, 2007 Hedging under the Heston Model with Jump-to-Default
by Peter Carr of Courant Institute of Mathematical Sciences & Bloomberg, and
Wim Schoutens of Katholieke Universiteit Leuven
(217K PDF) -- 12 pages -- September 21, 2007 Lévy Base Correlation Explained
by João Garcia of Dexia Group, and
Serge Goossens of Dexia Bank
(241K PDF) -- 13 pages -- August 12, 2007 Base Expected Loss explains Lévy Base Correlation Smile
by João Garcia of Dexia Group,
Serge Goossens of Dexia Bank
(182K PDF) -- 13 pages -- July 28, 2007 Let's Jump Together - Pricing of Credit Derivatives: From Index Swaptions to CPPIs
by João Garcia of Dexia Holding,
Serge Goossens of Dexia Bank, and
Wim Schoutens of Katholieke Universiteit Leuven
(250K PDF) –- 14 pages -- May 8, 2007 Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
by Peter L. Hammer of Rutgers University,
Alexander Kogan of Rutgers University, and
Miguel A. Lejeune of Carnegie Mellon University
(375K PDF) –- 31 pages -- January 2007 Affine Markov Chain Model of Multifirm Credit Migration
by Tom R. Hurd of McMaster University, and
Alexey Kuznetsov of McMaster University
(1,206K PDF) -- 32 pages -- December 15, 2006 Fast CDO Computations in the Affine Markov Chain Model
by Tom R. Hurd of McMaster University
Alexey Kuznetsov of McMaster University
(1,193K PDF) –- 24 pages -- November 23, 2006 A Generic One Factor Lévy Model for Pricing Synthetic CDOs
by Hansjörg Albrecher of the Radon Institute, Austrian Academy of Sciences, Linz & Graz University of Tech.
Sophie A. Ladoucette of Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(246K PDF) –- 20 pages -- September 2006 Measuring Provisions for Collateralised Retail Lending
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong,
Tak-Chuen Wong of the Hong Kong Monetary Authority, and
Po-Kong Man of the Chinese University of Hong Kong
(383K PDF) – 19 pages -- July 2006 Jumps in Intensity Models
by Jessica Cariboni of European Commission--Joint Research Centre and Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(518K PDF) –- 30 pages -- May 4, 2006 Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program
by Renzo G. Avesani of the International Monetary Fund,
Kexue Liu of the International Monetary Fund,
Alin Mirestean of the International Monetary Fund, and
Jean Salvati of the International Monetary Fund
(677K PDF) -- 35 pages -- May 2006 Credit Risk in Pure Jump Structural Models
by Filippo Fiorani of Aristeia Capital, and
Elisa Luciano of the University of Torino
(223K PDF) -– 23 pages -- February 28, 2006 Benchmarking Model of Default Probabilities of Listed Companies
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Tak-Chuen Wong of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the The Chinese University of Hong Kong
(2,054K PDF) -- 11 pages -- September 2005
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