Pricing and Hedging of Defaultable Models
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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. It is divided into two main parts. The first one is devoted to the well-known theory of modelling the default risk while the second one presents the results concerning pricing of the defaultable models that we obtained ourselves.
Place, publisher, year, edition, pages
2011. , 89 p.
Financial Mathematics, Option, Brownian Motion, Enlargement of Filtrations, Default
Computational Mathematics Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:hh:diva-16052Local ID: IDE1141OAI: oai:DiVA.org:hh-16052DiVA: diva2:437920
Subject / course
2011-05-31, Wigforshallen, Halmstad University, Halmstad, 10:17 (English)
UppsokPhysics, Chemistry, Mathematics
Vostrikova-Jacod, Lioudmila, Prof. Dr.
Bordag, Ljudmila A., Prof. Dr.