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Pricing and Hedging of Defaultable Models
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Financial Mathematics, Option, Brownian Motion, Enlargement of Filtrations, Default
National Category
Computational Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-16052Local ID: IDE1141OAI: oai:DiVA.org:hh-16052DiVA: diva2:437920
Subject / course
Financial Mathematics
Presentation
2011-05-31, Wigforshallen, Halmstad University, Halmstad, 10:17 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2011-08-31 Created: 2011-08-31 Last updated: 2011-09-06Bibliographically approved

Open Access in DiVA

Pricing and Hedging of Defaultable Models(963 kB)316 downloads
File information
File name FULLTEXT01.pdfFile size 963 kBChecksum SHA-512
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Type fulltextMimetype application/pdf

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MPE-lab
Computational MathematicsProbability Theory and Statistics

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Total: 316 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf