Pricing and Liquidity of Complex and Structured Derivatives Deviation of a Risk Benchmark Based on Credit and Option Market Data /

This book introduces the "strike of default" (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from bo...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Schmidt, Mathias (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:SpringerBriefs in Finance,
Temas:
Financial services industry.
Business enterprises-Finance.
Financial engineering.
Capital market.
Financial Services.
Corporate Finance.
Financial Engineering.
Capital Markets.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Introduction
  • Different Approaches on CDS Valuation - an Empirical Study
  • Credit Default Swaps from an Equity Option View
  • Strike of Default: Sensitivity and Times Series Analysis
  • Conclusion.

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