5 papers
Debt Subordination and The Pricing of Credit Default Swaps
Peter B. Lee, Mark B. Wise, Vineer Bhansali
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default…
Diversification and Gerneralized Tracking Errors For Correlated Non-Normal Returns
Mark B. Wise, Vineer Bhansali
The probability distribution for the relative return of a portfolio constructed from a subset n of the assets from a benchmark, consisting of N assets whose returns are multivariat…
Universal Asymptotic Behavior of Mortgage Prepayments
Mark B. Wise, Vineer Bhansali
Mortgage prepayments play a crucial role in the pricing and hedging of mortgage backed securities. An important feature of mortgage prepayment modeling is burnout; as time goes on…
How the Little Group Constrains Massless Field Representations in Higher Even Dimensions
Vineer Bhansali
Assuming trivial action of Euclidean translations of the little group, we derive a simple correspondence between massless field representations transforming under the full generali…
Running Nonlocal Lagrangians
V. Bhansali, H. Georgi
We investigate the renormalization of ``nonlocal'' interactions in an effective field theory using dimensional regularization with minimal subtraction. In a scalar field theory, we…