<t>Thanks, Alan, it worked. The key is to remember that, even though RHS of (6.5) is in terms of , the inverse Laplace transform has to be taken in terms of and recall that , where . Once this is done, (6.6) follows from integrating the series term by term and remembering that and . As Alan mentione...

<t>Alan, thanks for the comments. I was able to figure out 2) and 3), and Brecher and Lindsay mentioned 1) in their paper (I haven't got to that point myself). I tried twisting (6.6) this way and that yesterday, but I still can't figure out how to turn into . It looks like everything inside the pare...

Dear all,I've been trying to replicate the proof of Feller's Lemma 9 in his paper Two singular diffusion problems. I don't see how he moves from (6.5) to (6.6) to get to . Can anybody help?Thanks

<t>Since the historical probability of a >10% drop is about 1/13000, I would assign it approximately that price, e.g., 3K = 300K not'l / 13000 * fudge factor. There is no way to estimate the probability or hedge against an unknown event. You could keep going long a strip of S&P 500 futures as a(...

<t>Negative. As interest rates go up, the affordability of credit goes down which, in turn, leads to depression and an increase in vodka consumption, so the price goes up. Alternatively, as the state tightens its grip on the economy, inflation goes up - see above. Bud'te zdorovy ( to your health )! ...

Folks,Does anybody have experience with CDS spread evolution models? Has anybody worked with GARCH(1,1) ( or any other GARCH ) and / or jump-diffusion models? How do they stack up against each other? Any references?Thanks in advance.

Hi all,Is merton's original paper "on the pricing of corporate debt..." (1974) available for download anywhere on the Web (except JSTOR)? Thanks