Pricing and liquidity of complex and structured derivatives: deviation of a risk benchmark based on credit and option market data
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2016]
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| Schriftenreihe: | SpringerBriefs in finance
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| Schlagworte: | |
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| Beschreibung: | 1 Online-Ressource (XVII, 114 Seiten) Illustrationen |
| ISBN: | 9783319459707 |
| ISSN: | 2193-1739 |
| DOI: | 10.1007/978-3-319-45970-7 |
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| adam_text | Titel: Pricing and liquidity of complex and structured derivatives
Autor: Schmidt, Mathias
Jahr: 2016
Contents
1 Introduction............................................................................................1
References................................................................................................7
2 Different Approaches on CDS Valuation—An Empirical Study .... 9
2.1 How Does a CDS Work?................................................................11
2.2 The Standard Approach for CDS Pricing........................................15
2.3 Probability of Default and Hazard Rate Structure............................17
2.3.1 Constant Hazard Rate..........................................................18
2.3.2 Partial Constant Hazard Rate................................................19
2.3.3 Linear Hazard Rate..............................................................21
2.3.4 Partial Linear Hazard Rate..................................................22
2.4 Multi Curve Approach....................................................................24
2.5 Data Set..........................................................................................28
2.6 Results............................................................................................31
2.7 Conclusion......................................................................................36
References................................................................................................37
3 Credit Default Swaps from an Equity Option View............................39
3.1 Introduction to the SOD..................................................................42
3.2 CDS Premium Fee..........................................................................43
3.3 Option Pricing................................................................................44
3.3.1 Black-Scholes-Merton..........................................................46
3.3.2 Monte-Carlo Simulation......................................................48
3.3.3 Tree Models........................................................................49
3.3.4 Finite Differences................................................................53
3.3.5 Applied Volatilities..............................................................55
3.4 Data Set..........................................................................................55
3.5 Results............................................................................................56
3.6 Conclusion......................................................................................66
References................................................................................................66
4 Strike of Default: Sensitivity and Times Series Analysis....................69
4.1 Sensitivity........................................................................................71
4.2 Time Series Analysis......................................................................73
4.3 Data Set..........................................................................................74
4.4 Results............................................................................................75
4.5 Conclusion......................................................................................89
References................................................................................................90
5 Conclusion..............................................................................................93
Appendix......................................................................................................97
Literature....................................................................................................113
|
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| author | Schmidt, Mathias |
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| doi_str_mv | 10.1007/978-3-319-45970-7 |
| format | Thesis Electronic eBook |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV043857645 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-01T12:21:38Z |
| institution | BVB |
| isbn | 9783319459707 |
| issn | 2193-1739 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029267821 |
| oclc_num | 964635716 |
| open_access_boolean | |
| owner | DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-861 DE-523 DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-706 |
| owner_facet | DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-861 DE-523 DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-706 |
| physical | 1 Online-Ressource (XVII, 114 Seiten) Illustrationen |
| psigel | ZDB-2-ECF ZDB-2-ECF_2016 |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Springer |
| record_format | marc |
| series2 | SpringerBriefs in finance |
| spellingShingle | Schmidt, Mathias Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Finance Business enterprises / Finance Banks and banking Capital market Financial engineering Banking Business Finance Financial Engineering Capital Markets Bank Unternehmen Bewertung (DE-588)4006340-9 gnd Ausfallrisiko (DE-588)4205942-2 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)4006340-9 (DE-588)4205942-2 (DE-588)7660453-6 (DE-588)4113937-9 |
| title | Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data |
| title_auth | Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data |
| title_exact_search | Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data |
| title_full | Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Mathias Schmidt |
| title_fullStr | Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Mathias Schmidt |
| title_full_unstemmed | Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Mathias Schmidt |
| title_short | Pricing and liquidity of complex and structured derivatives |
| title_sort | pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data |
| title_sub | deviation of a risk benchmark based on credit and option market data |
| topic | Finance Business enterprises / Finance Banks and banking Capital market Financial engineering Banking Business Finance Financial Engineering Capital Markets Bank Unternehmen Bewertung (DE-588)4006340-9 gnd Ausfallrisiko (DE-588)4205942-2 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Finance Business enterprises / Finance Banks and banking Capital market Financial engineering Banking Business Finance Financial Engineering Capital Markets Bank Unternehmen Bewertung Ausfallrisiko Kreditderivat Hochschulschrift |
| url | https://doi.org/10.1007/978-3-319-45970-7 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029267821&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT schmidtmathias pricingandliquidityofcomplexandstructuredderivativesdeviationofariskbenchmarkbasedoncreditandoptionmarketdata |