Pricing and liquidity of complex and structured derivatives : deviation of a risk benchmark basd on credit and option market data / Mathias Schmidt.
2016
HG6024.A3 S36 2016
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Details
Title
Pricing and liquidity of complex and structured derivatives : deviation of a risk benchmark basd on credit and option market data / Mathias Schmidt.
Author
Schmidt, Mathias, author.
ISBN
9783319459707 (electronic book)
3319459708 (electronic book)
9783319459691
3319459694
3319459708 (electronic book)
9783319459691
3319459694
Published
Cham, Switzerland : Springer, 2016.
Language
English
Description
1 online resource (125 pages).
Item Number
10.1007/978-3-319-45970-7 doi
Call Number
HG6024.A3 S36 2016
Dewey Decimal Classification
332.645
Summary
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 both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Digital File Characteristics
text file PDF
Source of Description
Online resource; title from PDF title page (viewed December 1, 2016).
Series
SpringerBriefs in finance.
Available in Other Form
Print version: 9783319459691
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Table of Contents
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.
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.