Mayor Street
IFSC
Dublin, 1
Ireland
School of Business, National College of Ireland
SSRN RANKINGS
in Total Papers Downloads
equity options, credit default swaps, leverage, stochastic volatility, perpetual options, first-touch digitals, Greeks, default probabilities, put-call parity
perpetual American options, binary barrier options, first-touch digitals, put-call parity
Credit, banking, risk management
Credit, Banking, Risk Management
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structural credit risk models; endogenous default boundary; first-touch digital options; stochastic equity volatility; model calibration; credit default swaps.
Natural Language Processing, Hedge Funds
Asset management, derivatives, corporate finance, risk management
credit, banking, risk management
perpetual options, compound options, barrier options, first-touch digitals, Greeks, put-call parity, distance to exercise, time to exercise