I could not find this in the errata on the website. I think the equation on page 322 below formula 10.7 (Merton jump-diffusion model) shoud be, not

Probability of observing maximum value x in k-element sample:MLE: find such N, so that this probability is maximized given x. This leads to solution equal to x (probability is decreasing in N).

<t>LCH Tapo model is consistent with Levy (log-normal moment matching). There are two ways to go when pricing Asian options within the averaging period (at least within this framework):1) Adjust the strike and treat this as a "new" option.2) Incorporate the correction for the fixed portion of the av...

<t>Problem is that for retail credits the recoveries are absolutely not beta distributed. There are usually two peaks, near zero and near one. Very hard to use a regression technique for such a distribution! So difficult to calculate confidence intervals, ...I would not call myself an expert in the ...