Sökning: "Credit Default Swaption"
Hittade 3 uppsatser innehållade orden Credit Default Swaption.
1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER
2. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. LÄS MER
3. Pricing Credit Default Index Swaptions A numerical evaluation of pricing models
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study examines the background and nature of the credit default index swaption (CDIS) and presents relevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyer right to enter into a credit default index swap (CDS index) contract at a given point in time. LÄS MER