We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the network of interbank exposures in a way that makes it more resilient to insolvency cascades. A regulator can use inf...

To my parents and to Diana Preface Credit derivatives play a major role in financial markets. To price these complex products objectively advanced mathematical models are needed. In this thesis we focus on the modelling and valuation of two portfolio credit derivatives: n th-to-default credit default swaps (CDSs) and collateralised debt obligations (CDOs). The key input parameters of these mode...

The so-called Burnside-Dixon-Schneider (BDS) method currently used as the default method of computing character tables in GAP for groups which are not solvable is often inefficient in dealing with groups with large centres. If G is a finite group with centre Z and λ a linear character of Z, then we describe a method of computing the set Irr(G,λ) of irreducible characters χ of G whose restrictio...

This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener–Hopf factorization, we derive expressions for the analytically extended characteristic function of the supremum and the infimum of a Lévy process. Combined with general results on Fourier methods for option pricing...