Pricing and Hedging of Defaultable Models

Pricing and Hedging of Defaultable Models

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 p...

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Bibliographic Details
Main Authors: Antczak, Magdalena, Leniec, Marta
Format: Others
Language:English
Published: Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab) 2011
Subjects:
Financial Mathematics
Option
Brownian Motion
Enlargement of Filtrations
Default
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16052
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spelling ndltd-UPSALLA1-oai-DiVA.org-hh-160522013-01-08T13:32:50ZPricing and Hedging of Defaultable ModelsengAntczak, MagdalenaLeniec, MartaHögskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)2011Financial MathematicsOptionBrownian MotionEnlargement of FiltrationsDefaultApplied mathematicsTillämpad matematikMathematical statisticsMatematisk statistikModelling 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. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16052Local IDE1141application/pdfinfo:eu-repo/semantics/openAccess
collection NDLTD
language English
format Others
sources NDLTD
topic Financial Mathematics
Option
Brownian Motion
Enlargement of Filtrations
Default
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik
spellingShingle Financial Mathematics
Option
Brownian Motion
Enlargement of Filtrations
Default
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik
Antczak, Magdalena
Leniec, Marta
Pricing and Hedging of Defaultable Models
description 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.
author Antczak, Magdalena
Leniec, Marta
author_facet Antczak, Magdalena
Leniec, Marta
author_sort Antczak, Magdalena
title Pricing and Hedging of Defaultable Models
title_short Pricing and Hedging of Defaultable Models
title_full Pricing and Hedging of Defaultable Models
title_fullStr Pricing and Hedging of Defaultable Models
title_full_unstemmed Pricing and Hedging of Defaultable Models
title_sort pricing and hedging of defaultable models
publisher Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)
publishDate 2011
url http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16052
work_keys_str_mv AT antczakmagdalena pricingandhedgingofdefaultablemodels
AT leniecmarta pricingandhedgingofdefaultablemodels
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