Serving the Quantitative Finance Community

Credit Range Accrual Notes

Post Reply
 
User avatar
anupkurup
Topic Author
Posts: 0
Joined: June 21st, 2005, 5:48 am

Credit Range Accrual Notes

April 24th, 2006, 2:33 am

Last edited by anupkurup on June 28th, 2010, 10:00 pm, edited 1 time in total.
Top
 
User avatar
pi314
Posts: 2
Joined: September 27th, 2004, 9:56 am

Credit Range Accrual Notes

April 24th, 2006, 12:50 pm

basic ideas: put a dynamic of credit spread, calibrate to the market data, and monte carl all at the payoff, you will get your price !One question: which model to choose ? It depends on the market !:music
Top
 
User avatar
anupkurup
Topic Author
Posts: 0
Joined: June 21st, 2005, 5:48 am

Credit Range Accrual Notes

April 25th, 2006, 9:33 am

Last edited by anupkurup on June 28th, 2010, 10:00 pm, edited 1 time in total.
Top
 
User avatar
ljcao
Posts: 0
Joined: September 10th, 2005, 11:52 am

Credit Range Accrual Notes

September 17th, 2006, 8:19 am

Hi, anupkurup:Can I ask for the paper regarding pricing credit range accrual? Any materials are welcome. Pls. email to my email box: ljcao@163.com
Top
 
User avatar
ljcao
Posts: 0
Joined: September 10th, 2005, 11:52 am

Credit Range Accrual Notes

September 17th, 2006, 8:26 am

my private email box
Top
 
User avatar
Money
Posts: 2
Joined: September 6th, 2002, 4:00 pm

Credit Range Accrual Notes

March 24th, 2007, 10:47 am

any such paper ???
Top
 
User avatar
levoodoo
Posts: 0
Joined: July 20th, 2007, 9:30 am

Credit Range Accrual Notes

July 23rd, 2007, 10:59 am

Wondering about the hedging of a RAN. If the RAN is a series of barriers, you hedge it using a combination of puts @ x1 and puts @ x2 (essentially a bull spread) - My question is what kind of puts do you sell - it's not a very liquid market
Top
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | About | Contact us