Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Default risk can be modeled as an evolution of a series of events, rather than a binomial occurrence of default or no default. This insight results in a simple trinomial model for bonds with default ...
The accelerated trinomial tree (ATT) is a derivatives pricing lattice method that circumvents the restrictive time step condition inherent in standard trinomial trees and explicit finite difference ...
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