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Callable Loan Credit Protection: Wilmott Magazine Article
Alain Verberkmoes and Anna Shepeleva 479 Views

A cancelable LCDS is a credit default swap on loans which is terminated when the underlying reference obligations are refinanced. In this paper we present a simple intuitive approach for dealing with such LCDS contracts. The focus is on the dependence of the issuer's decision to refinance on the issuer's credit spread. The resulting model allows for fast numerical evaluation and can be used for trading and risk management purposes.


An Analysis of Pricing Methods for Baskets Options
Martin Krekel, Johan de Kock, Ralf Korn and Tin-Kwai Man 4385 Views

This paper deals with the task of pricing basket options. Here, the main problem is not path-dependency but the multi-dimensionality which makes it impossible to give exact analytical representations of the option price. We review the literature and compare six different methods in a systematic way. Thereby we also look at the influence of various parameters such as strike, correlation, forwards or volatilities on the performance of the different approximations.

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