| Relative
value and quantitative analysis
Articles |
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| Pricing and Risk Management of Synthetic CDOs |
Jaffar Hussain
Saudi National Commercial Bank
September 2006
free download 313KB
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The impact of option strategies in financial portfolios performance: mean-variance and stochastic dominance approaches
Abstract available here |
Fathi Abid, Mourad Mroua (Faculty of Business and Economics, University of Sfax) and Wing-Keung Wong (Department of Economics, National University of Singapore)
April 2006
free download pdf (400KB)
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Tools for sampling Multivariate Archimedean Copulas
Abstract available here |
Mario R. Melchiori, Universidad Nacional del
Litoral, Santa Fe, Argentina
April 2006
free download pdf (671KB)
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| Relative value analysis: calculating corporate bond spreads |
Moorad Choudhry
February 2006
free download 160KB
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Analysing the methodology of CreditRisk+ by Fast Fourier
Transform
More details, source codes downloads and Abstract, available here |
Mario Melchiori, Universidad Nacional del Litoral, Santa Fe, Argentina
July 2004
free download pdf (1993KB)
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| A Primer on Probability Theory and Stochastic Modelling |
Mohamoud Dualeh
May 2004
free download pdf (114KB)
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| An Introduction to the Mathematics of Fixed Income Pricing |
Mohamoud Dualeh
May 2004
free download pdf (162KB)
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| Fitting the term structure of interest rates: the practical implementation of cubic spline methodology |
Rod Pienaar
January 2004
free download pdf (719KB)
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Credit Derivative Models: Which Archimedean Copula is the right one?
More details and Abstract download, available here |
Mario Melchiori
Universidad Nacional del Litoral
October 2003
free download pdf (325KB)
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| Determining the expression for the fair value of the swap spread: an approach using Libor and GC repo rates |
Moorad Choudhry
October 2001
free download pdf (120KB)
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| An illustration from the UK gilt market: The impact of demand and liquidity on the information content and predictive power of the government bond yield curve |
Moorad Choudhry
December 1999
free download pdf (140KB)
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