We establish a simple yet consistent framework linking credit and equity markets. Using the framework we analyze relative pricing of credit and equity derivatives. We also discuss deviations from the model occurring in real markets.
Vladimir Finkelstein, is a founding partner and Chief Science Officer of Horton Point LLC, investment management company specializing in quantitative strategies across asset classes. Prior to that, he was a Managing Director and Head of Quantitative Research at Citadel Investment Group (2003-2005), and the Head Derivatives Risk Modeler and a global head of Credit Derivatives Analytics at Goldman, Sachs (2000-2003). Vladimir began his carrier in finance at J.P.Morgan in 1991, where he first built the Fixed Income Derivatives Research Group in New York, and later was responsible for Global Credit Derivatives Analytics. He holds a Ph.D. in Physics from NYU and an M.S. in Theoretical Physics from the Moscow Institute of Physics and Technology. ( Slides)
Speaker: Vladimir Finkelstein, Horton Point LLC