Chapter 22. Credit Derivatives [PDF]
1. Terminology
Family of Credit Derivatives
Bizarre Nomenclature
2. Credit Default Swap
3. Total Return Swap
4. Negative Basis Package
[Appendix]
Synthetic Defaultable Bond using CDS [PDF]
Synthetic CDS vs. Vanila CDS [PDF]
Chapter 23. Equity Products [PDF]
1. Discount Rate = Expected Return
2. Continuous Time Version of CAPM
3. Convertible Bond
4. Family of Convertible Bonds
5. Structuring
Discount Rate of Equity in Real Prob. Measure [PDF]
CAPM in Continuous Time [PDF]
Convertible Bonds [PDF]