| Purdue Computational Finance Program | |
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Math For Credit
February 6, 2004 |
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Abstract:
The space of credit products is expanding rapidly and models for pricing and risk managing them becoming more complex. We will discuss basic pricing models for credit derivatives. This talk will focus on fundamental research problems for a handfull of these products (credit default swaps, basket default swaps, etc.). We will try and identify key variables in the analysis and focus on their estimation from market data rather than mathematical formalism. We will talk briefly about the trade-off between model accuracy and computation simplicity in an industry context. The talk should appeal to a wide audience of finance researchers interested in these markets. Basic familiarity with probability and pricing theory will suffice. Slides from the talk |
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