Natalie Packham

Learn More
The world's highest incidence of thyroid cancer has been reported among females in New Caledonia, a French overseas territory in the Pacific located between Australia and Fiji. To date, no molecular genetic studies in this population are available. Over the past few years, the oncogenic rearrangement of the ret protooncogene (ret/ptc) has been studied in(More)
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. For elliptically distributed asset variables, the asymptotic limits of default probabilities and default correlations depend on the max-domain of attraction of the asset variables. In the regularly(More)
Can shorter maturity European options be statically hedged with longer maturity plain vanilla options? This problem appears for example when analyzing options on forwards in relation to liquid options on the spot underlying. Under mild assumptions on the underlying security price process and on the option's payoff function we show that approximate static(More)
  • 1