The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …

We propose an interest rate model driven by a particular Lévy Process, the normal inverse
Gaussian (NIG) process, in which the SDE chosen to govern the evolution of the short term …

This paper investigates the presence of the leverage effect in commodities, in comparison
with financial markets. The EGARCH model with a Mixture of Normals distribution (EGARCH …

The aim of this paper is to develop models for producing accurate forecasts for the
correlation of spot and forward interest rates. Correlation forecasts generated from factor …

This book covers fundamental concepts in financial markets and asset pricing such as
hedging, arbitrage, speculation in different markets, classical models for pricing of simple …

Within a marking-to-model framework, this research computes the bank's capital charge for
credit and operational risks of loan commitments at Basel-2 fixed audit date. This is done in …

This paper develops a new version of the Hull–White's model of interest rates, in which the
volatility of the short term rate is driven by a Markov switching multifractal model. The interest …

We present a new estimation method for Gaussian mixture modeling, namely, the kurtosis‐
controlled expectation‐maximization (EM) algorithm, which overcomes the limitations of the …

This paper uses a reduced‐form approach to derive a closed‐form pricing formula for
defaultable bonds. The authors specify the default hazard rate as an affine function of …

​ Against the background of the financial-cum-sovereign debt crisis, government debt
managers are currently faced by a challenging environment. One key element in that respect …