Aspects of term structure modelling: implementation and default risk
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hamburg
Kovač
2001
|
| Schriftenreihe: | Schriftenreihe Finanzmanagement
4 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zugl.: Bonn, Univ., Diss., 2001 |
| Beschreibung: | VII, 88 S. graph. Darst. |
| ISBN: | 3830004362 |
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Datensatz im Suchindex
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I
Contents
1 Introduction 1
2 A Square Root Interest Rate Model 3
2.1 Introduction 4
2.2 The Mathematical Model 5
2.3 Valuation of Contingent Claims 11
2.4 Hedging Strategies 14
2.5 Calibration Issues 16
2.6 Model Implementation 18
2.7 Multifactor Extensions 20
2.8 Conclusion 25
3 Default Risk in a Market Model 27
3.1 Introduction 27
3.2 Probabilistic Framework 31
3.3 Defaultable Credit Agreements 36
3.4 Defaultable Interest Rate Swaps 48
3.5 Conclusion 57
A Mathematical Results 59
A.I On the Non Explosion of Solutions to an SDE 59
A.2 Existence Proof for the Short Rate Process 63
A.3 Results for the Compound x2 Distribution 64
B Construction of Default Processes 67
B.I Unilateral Default 67
B.2 Bilateral Default 73
B.3 Structure of Default Times 77
I vii
I
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| indexdate | 2024-07-09T18:51:17Z |
| institution | BVB |
| isbn | 3830004362 |
| language | English |
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| physical | VII, 88 S. graph. Darst. |
| publishDate | 2001 |
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| publisher | Kovač |
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| series | Schriftenreihe Finanzmanagement |
| series2 | Schriftenreihe Finanzmanagement |
| spelling | Schlögl, Lutz Verfasser aut Aspects of term structure modelling implementation and default risk Lutz Schlögl Hamburg Kovač 2001 VII, 88 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Finanzmanagement 4 Zugl.: Bonn, Univ., Diss., 2001 Hochschulschrift gtt Kreditderivat (DE-588)7660453-6 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s Messung (DE-588)4038852-9 s Zinsstrukturtheorie (DE-588)4117720-4 s DE-604 Schriftenreihe Finanzmanagement 4 (DE-604)BV013087358 4 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009397429&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schlögl, Lutz Aspects of term structure modelling implementation and default risk Schriftenreihe Finanzmanagement Hochschulschrift gtt Kreditderivat (DE-588)7660453-6 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Messung (DE-588)4038852-9 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4117720-4 (DE-588)4038852-9 (DE-588)4113937-9 |
| title | Aspects of term structure modelling implementation and default risk |
| title_auth | Aspects of term structure modelling implementation and default risk |
| title_exact_search | Aspects of term structure modelling implementation and default risk |
| title_full | Aspects of term structure modelling implementation and default risk Lutz Schlögl |
| title_fullStr | Aspects of term structure modelling implementation and default risk Lutz Schlögl |
| title_full_unstemmed | Aspects of term structure modelling implementation and default risk Lutz Schlögl |
| title_short | Aspects of term structure modelling |
| title_sort | aspects of term structure modelling implementation and default risk |
| title_sub | implementation and default risk |
| topic | Hochschulschrift gtt Kreditderivat (DE-588)7660453-6 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Messung (DE-588)4038852-9 gnd |
| topic_facet | Hochschulschrift Kreditderivat Zinsstrukturtheorie Messung |
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