Izzy Nelken

Super Computer Consulting, Inc.

3943 Bordeaux Drive

Northbrook, IL

United States

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Scholarly Papers (1)

1.

Merton's Model, Credit Risk and Volatility Skews

Posted: 28 Apr 2005
John C. Hull, Izzy Nelken and Alan White
University of Toronto - Rotman School of Management, Super Computer Consulting, Inc. and University of Toronto - Rotman School of Management

Abstract:

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Merton's model, credit risk, volatility skews, credit default swap market