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The following are available as Adobe Acrobat PDF files
(See also the " Recent Papers" page)

Capital Structure Arbitrage

Given at the CBOE Risk Management Conference, March 2005 
Capital Structure Arbitrage

 

The New VIX index

Given at the CBOE on March 25, 2004 
New VIX Presentation

Volatility Dispersion

On selling index options and buying component options.
Volatility Dispersion Presentation

Merton's Model, Credit Risk and the Volatility Skew, John Hull, Izzy Nelken and Alan White

Many financial institutions are profoundly interested in modeling the credit risk of various counter-parties. Traditional models rely on the stock price and stock volatility combined with  knowledge of the company's financial structure. In this paper, we show that using just two option implied volatility numbers even without knowledge of the company's financial structure   gives better results. Thus the paper connects two seemingly disjoint markets: the equity options market and the credit derivatives market.
Credit Derivatives Presentation

Haircutting the Hedge Funds, Hari Krishnan and Izzy Nelken

Analysis of hedge funds on a historical basis is often misleading. Past returns look very high and the risks very small. There are risks in these funds that historical analysis can not account for. Many funds impose a "lock up". The investor can not withdraw capital from the fund for a pre-specified time (perhaps a year). There is a "liquidity premium" that must be accounted for. In this paper, we show how to calculate the liquidity premium.

Has been published in Risk Magazine , April 2003
Hedge Fund Presentation