Sökning: "Marta Leniec"

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  1. 1. Pricing and Hedging of Defaultable Models

    Magister-uppsats, Tillämpad matematik och fysik (MPE-lab)

    Författare :Magdalena Antczak; Marta Leniec; [2011]
    Nyckelord :Financial Mathematics; Option; Brownian Motion; Enlargement of Filtrations; Default;

    Sammanfattning : Modelling defaultable contingent claims has attracted a lot of interest in recent years, motivated in particular by the Late-2000s Financial Crisis. In several papers various approaches on the subject have been made. This thesis tries to summarize these results and derive explicit formulas for the prices of financial derivatives with credit risk. LÄS MER