Structural Default Models with Jumps

Fyta

Description

• exposé

Structural Default Models with Jumps Diplomarbeit an der Universitat Ulm Fakultat fur Mathematik und Wirtschaftwissenschaften Johannes Karl Dominik Ruf Juni 2006

• laplace-transform approach
• brownian-bridge pricing technique
• jump-diffusion process
• quality of the bond price
• default threshold
• characteristic function
• probability of default
• probability of a default
• bond
• model
• time

Sujets

• Exposé
• Kimball
• Freeman
• Rudiger
• Dominik
• Scherer
• Default
• Pricing
• Probability

Informations

• Publié par: rehev
• Nombre de lectures: 39
• Langue: English

Extrait

 (Course Syllabus)

1)  (Course Number)2110522 2) !"""#ก% (Course Credit)(3-0-9) 3 ก(Credit) 3) *+ (Course Title)for Enterprise Environment (ก*/ก*ก) UNIX/Linux 4)  (Faculty)ก  (Department)ก; 5) กก: (Semester) < (First) > (Second) Ā< (Summer) 6) <กก: (Academic Year)2554 7) *+@Ā" (Instructor / Academic Staff)  .  ; ([e-mail]) 8) +*"ïJ (Condition) 8.1) +%"ก#" (Prerequisite) 8.2) # (Corequisite) 8.3)  (Concurrent) 9) "ŚJ (Status)

Û(Required)

Û;ก (Elective)

Ôก ก

10)+*กĀ%(Curriculum) (;) 11) Û (Degree)Śก 12) !""++"/ÛX (Hours / Week)3Û (Hours)

13) "\* (Course Description) >;>[ก\ก\>กก\ ก<<;*];:ก\>\`à:;กÛ<;Ô< กç<ก กéกéก`\\ 14) ก" (Course Outline)  14.1) %^X+ï_/ *%^XŚ`%ก (Learning Objectives /Behavioral Objectives) 1.>;> [/ก/>; Ô UNIX ;< Śîก 2.[ก system software \ BSD FreeBSD \ Linux 3.ก\>กก Ś<;Ô>Ô FreeBSD \ Linux 4. \ ;Ô`<>ôก\ก*]\ 5.<\ก`îÔ system administration 6. ก<<;>ôก 7. ก\>\Ô;*];Ô 8. `à :  ;กÛ< ;Ô<กç<ก

1

14.2) "*\%#+ (Learning Contents) ÛX"+"\* (Weeks) (Dates) (Contents) 1 16 [.. 54 -  ( / outline)  - FreeBSD vs. Linux - The Cathedral and the Bazaar - \Ô[[ / Virtual Machine 223[..54McKusick2DesignOverview 3 30 [.. 54 Performance Monitoring & Tuning - Supart Slides - DTrace 46..55McKusick2()

5

6 7 8 9 10 11 12 13 14 15

13 .. 55

20 .. 55 27 .. 55 10 ก.. 55 17 ก.. 55 24 ก.. 55 2 .. 55 9 .. 55 16 .. 55 23 .. 55 30 .. 55

Linux kernel architecture

Linux kernel architecture () ก(Û%!ClosedBook) Linux distro Virtualization Advances in operating systems Advances in operating systems () Mail subsystems Advances in File Systems Û%!

14.3) îÛก"ก" (Method)

ก(Lecture)

ก;Û>(Lecture and Discussion)

ก \ก>กŚก ;< <กก; \ก\ก<> (Brainstorming and discussion of case study so that students learn to analyze and solve problems)

ก"ก#" (Assignment) (Submitting Method) - ก (3 ) `Û \<; - Install FreeBSD < VMware - <กกÛ< UNIX command line Ô``î

- `\Û< DTrace  FreeBSD -`Ubuntu -Û<VIM -éก Admin - 

39

-  FreeBSD - ก (ç\ < ) -  DTrace

-  Ubuntu & VIM

-  Admin -

Û(hour)

Û(hour)

Û(hour)

ก>>; ก;Ôก< Ôç< (Making a summary of the main points or presentation of the results of researching or the assigned tasks)

(Others) 14.4) +*ก" (Media) \\\ŚŚ(Transparencies and opaque sheets) ;>\PowerPoint (Powerpoint media) ;กกdimeeita)(lEce/;*çandwebstronics 

9

Û(hour)

Û(hour)

14.5) ก" (Assignment) 14.5.1 Jก!"Ûîก _#" (Assigning and Submitting Method)  กÛ`;;ç*Ô<  14.5.2 Ûกก"Ā+Û+ (Learning Management System) กÛ`;;ç<;

14.6) กÛ@ก" (Evaluation) 14.6.1 ก"Āก (Assessment of academic knowledge) - (Quiz) < (percent) -20< (percent) ก (Mid-Term Exam) -กç (Final Exam) < (percent) 20 14.6.2 ก"ก!" *กก"\"" (Assessment of work or classroom activities) -ก; (Presentation) < (percent) -\éก (Exercise) < (percent) -กกก (Group Activities) < (percent)  14.6.3 ก"@"+ïÛ (Assessment of the assigned tasks) - (Report) < (percent) -40< (percent) ก< (Homework) -20< (percent)  (Project) 14.6.4+*"(Others) 3

 14.7) %^ก" (Summary of the course syllabus) %^XŚ`%ก@ŚîXก"Āîก"กÛ@ (Behavioral Objectives) (Learning Outcomes) (Teaching Method) (Assessment) (%%LearningOutcomes)(Û14.3_14.4)(Û14.6) ç<<;กกก กç กก 1.4, 1.5, 5.1, 5.2, 5.3, 5.4 Ā`î \;Ô ก î;><Û<  ç<<;กกก กç กก 2.3, 2.4, 2.5, 3.1, 3.2, 4.1, 5.1, 5.2, 5.3, 5.4, 6.1, 6.2, 6.3, 7.1, 7.2, 7.3, Ā`î \;Ô 8.1, 8.3, 9.1, 9.4, 10.1, 10.2, 10.3, ก î;><< 12.1, 13.1, 13.2, 13.3  ;Ô<ก กçก;Ô กก 6.1, 6.2, 6.3, 13.1, 13.2, 13.3 ç<ก< ;\î   ;กÔŚ` <<;;;ก ก;Ô ก< 13.1, 13.2, 13.3 ç< ç> 14.8) กXก_"" (Scoring criteria) - กก กç \ก< กç<< >; Û; \;Û ç<;กç<;>;;> -  Ôกก\ >; ก; ก>กç< ;ก \ก<<;;çç<; 14.9) กกÛ (Grading) ;กç>`;>;`< \;ก\>;>\>ç<ก`Ô`ŚกกกÔ\Ôก >`  < A 85-100 B+ 76-84 B 66-75 C+ 61-65 C 56-60 D+ 51-55 D 40-50 F 0-39 4

15) +*"*#"ก (Reading List)  15.1) "* (Required Text)

15.2) "*#"Ś+% (Supplementary Texts) - M. McKusick & G. Neville-Neil,The Design and Implementation of the FreeBSD Operating System, Addison Wesley, 2004. th - Silberschatz, Galvin, and Gagne, Operating System Concepts, 6 ed. (Windows XP Update), John Wiley & Sons, 2003. 15.3)  / ก () (Research Articles / Academic Articles (If any))

15.4) +*ก"กX *ïŝ%X+ก+J (Electronic Media or Websites) - UCI's Unix User Guide,http://www.oac.uci.edu/help/manuals/uci.unix.guide/<<<< Basic usage / users guide - FreeBSD Handbook,http://www.freebsd.org/doc/en_US.ISO8859-1/books/handbook/<<<< Basic admin guide - Using Unix,http://pangea.stanford.edu/computerinfo/unix/<<<< Good Intro to UNIX Structure / Organization / Architecture - VIM (Vi iMproved) download for PC-MS/XP,http://www.vim.org/download.php#pc - Eric S. Raymond, The Cathedral and the Bazaar,http://catb.org/~esr/writings/cathedral-bazaar/cathedral-bazaar/, accessed October 28, 2010. - John Birrell, DTrace for FreeBSD, FreeBSD Organization, May 2008. - Bryan Cantrill, Hidden in Plain Sight, ACM Queue, February 2006,http://queue.acm.org/detail.cfm?id=1117401, accessed October 28, 2010. - Oracle, Introduction to DTrace,http://wikis.sun.com/display/DTrace/Introduction, accessed October 28, 2010. - Thomas Bittman, Virtualization Changes Virtually Everything, Symposium/ITxpo 2008, Garner Group, October 2008. - Wiki, Comparison of file systems, Wikimedia Foundation, Inc.,http://en.wikipedia.org/ wiki/Comparison_of_file_systems, accessed October 28, 2010. - Milo, Logical Layer, OSdata.com,http://www.osdata.com/system/logical/logical.htm, accessed October 28, 2010. - Erez Zadok, FSL Projects, Filesystems.org,http://filesystems.org/all-projects.html, accessed October 28, 2010. 16) ก"@ก" (Teacher Evaluation)  16.1) Ā_ก"ก" (Teacher Evaluation) Û<\ก>;ก\Ô 16.2)ก^ก@ก"ก"\+@#"(Changesmadeinaccordancewiththeprevious evaluation) >>; 16.3)ก*กX+^ก:+ŚXJ%^กX(^#ïÛ Û!""ก^ก:Û"Ûŝ+ก!"Û^ก:4Û"ïÛ_ก#%ûVV_กก:_Ś

5

^î _) (Discussion or analysis which creates desirable qualifications of Chulalongkorn University graduates (specifying what aspect(s) required by the University which has been achieved. The four required aspects include intellect and academic knowledge, skills and professional knowledge, ethics, and social responsibility) - <>\Ûก ;<ก -<ก\ÛÛ;<ก;<<<<;>กก\ กก<\ - <[ ;<;Ô<กก<\ - < ;<กก< ก

6

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ตาราง Learning Outcomes Princi le OutcomesemenคSมuีltcomtOuseมไ -

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Learning Outcomes 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 1.1 1.2 1.3 1.4 1.5 2.1 2.2 2.3 2.4 2.5 3.1 3.2 4.1 4.2 4.3 4.4 5.1 5.2 5.3 5.4 6.1 6.2 6.3 7.1 7.2 7.3 8.1 8.2 8.3 9.1 9.2 9.3 9.4 10.1 10.2 10.3 11.1 11.2 11.3 12.1 12.2 - - - ๐ ● - - ๐ ● ● ● ● ๐ - - - ● ● ● ● ● ● - ● ● ● ● - ๐ ๐ - - ๐ ๐ ● ● - - - ๐ - 1.1 <`î #%Û%ก.8*+ ก8.1 1.2<`î]ก8.2กกÛÛ 1.3<`î;8.3ก 1.4<`îก 1.5<;ก 2.1>กÛ<< 9.  ก_ >9.1\กÛก>Śô 2.2>กÛ<<9.2ก\ÛŚก>ô[ÔÛÛ 2.3>กÛ<<`î9.3ก\ÛŚก>ô\[ 2.4>กÛ<<;9.4ก\ÛŚก>ô;Ûก 2.5>กÛ<<ก<\ 3.1>(**<)ç< î.01 1*0.1[; 3.2;>ç<10.2;  10.3 Ûก \ÛÛ 4.1ก\ก\ก<>ŚŚ> _+Û1.1 ô>กÛ\<11.1ก\ 4.2ก\ก\ก<>ŚŚ[ÔÛÛ +*" _:zก ô>112.\ 4.3ก\ก\ก<>ŚŚ[\ ŚŚ 3.11ô>;îกŚก; 4.4ก\ก\ก<>ŚŚ\< 5.1 \กก \กก\ 12. กÛก+ î;;Û;กÔ;Śก1.21 5.2;ก/กก/> _"^ก Ôก;Û;;î12.2; 5.3;\\>ก; 5.4;Ô<;> 6.1 ;ก; ; ก;\ %Û"Āก13.Ś ;<<ก;>;Śก.113 6.2>กÛ<;;ก;\13.2;<<; 6.3<;;ก;\13.3กŚก;<Û 7.1<; 7.2îÛกÔ 7.3î<Ô

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13.1 ●

13. 13.2 ●

13.3 ●