Verfügbarkeit: Pricing and liquidity of complex and structured derivatives

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Beteilige Person:	Schmidt, Mathias (VerfasserIn)
Format:	Hochschulschrift/Dissertation Elektronisch E-Book
Sprache:	Englisch
Veröffentlicht:	Cham Springer [2016]
Schriftenreihe:	SpringerBriefs in finance
Schlagwörter:	Finance Business enterprises / Finance Banks and banking Capital market Financial engineering Banking Business Finance Financial Engineering Capital Markets Bank Unternehmen Bewertung Ausfallrisiko Kreditderivat Hochschulschrift
Links:	https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 https://doi.org/10.1007/978-3-319-45970-7 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029267821&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	1 Online-Ressource (XVII, 114 Seiten) Illustrationen
ISBN:	9783319459707
ISSN:	2193-1739
DOI:	10.1007/978-3-319-45970-7

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Datensatz im Suchindex

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adam_text	Titel: Pricing and liquidity of complex and structured derivatives Autor: Schmidt, Mathias Jahr: 2016 Contents 1 Introduction............................................................................................1 References................................................................................................7 2 Different Approaches on CDS Valuation—An Empirical Study .... 9 2.1 How Does a CDS Work?................................................................11 2.2 The Standard Approach for CDS Pricing........................................15 2.3 Probability of Default and Hazard Rate Structure............................17 2.3.1 Constant Hazard Rate..........................................................18 2.3.2 Partial Constant Hazard Rate................................................19 2.3.3 Linear Hazard Rate..............................................................21 2.3.4 Partial Linear Hazard Rate..................................................22 2.4 Multi Curve Approach....................................................................24 2.5 Data Set..........................................................................................28 2.6 Results............................................................................................31 2.7 Conclusion......................................................................................36 References................................................................................................37 3 Credit Default Swaps from an Equity Option View............................39 3.1 Introduction to the SOD..................................................................42 3.2 CDS Premium Fee..........................................................................43 3.3 Option Pricing................................................................................44 3.3.1 Black-Scholes-Merton..........................................................46 3.3.2 Monte-Carlo Simulation......................................................48 3.3.3 Tree Models........................................................................49 3.3.4 Finite Differences................................................................53 3.3.5 Applied Volatilities..............................................................55 3.4 Data Set..........................................................................................55 3.5 Results............................................................................................56 3.6 Conclusion......................................................................................66 References................................................................................................66 4 Strike of Default: Sensitivity and Times Series Analysis....................69 4.1 Sensitivity........................................................................................71 4.2 Time Series Analysis......................................................................73 4.3 Data Set..........................................................................................74 4.4 Results............................................................................................75 4.5 Conclusion......................................................................................89 References................................................................................................90 5 Conclusion..............................................................................................93 Appendix......................................................................................................97 Literature....................................................................................................113
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genre	(DE-588)4113937-9 Hochschulschrift gnd-content
genre_facet	Hochschulschrift
id	DE-604.BV043857645
illustrated	Illustrated
indexdate	2024-12-20T17:46:58Z
institution	BVB
isbn	9783319459707
issn	2193-1739
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-029267821
oclc_num	964635716
open_access_boolean
owner	DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-861 DE-523 DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-706
owner_facet	DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-861 DE-523 DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-706
physical	1 Online-Ressource (XVII, 114 Seiten) Illustrationen
psigel	ZDB-2-ECF ZDB-2-ECF_2016
publishDate	2016
publishDateSearch	2016
publishDateSort	2016
publisher	Springer
record_format	marc
series2	SpringerBriefs in finance
spellingShingle	Schmidt, Mathias Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Finance Business enterprises / Finance Banks and banking Capital market Financial engineering Banking Business Finance Financial Engineering Capital Markets Bank Unternehmen Bewertung (DE-588)4006340-9 gnd Ausfallrisiko (DE-588)4205942-2 gnd Kreditderivat (DE-588)7660453-6 gnd
subject_GND	(DE-588)4006340-9 (DE-588)4205942-2 (DE-588)7660453-6 (DE-588)4113937-9
title	Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data
title_auth	Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data
title_exact_search	Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data
title_full	Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Mathias Schmidt
title_fullStr	Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Mathias Schmidt
title_full_unstemmed	Pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data Mathias Schmidt
title_short	Pricing and liquidity of complex and structured derivatives
title_sort	pricing and liquidity of complex and structured derivatives deviation of a risk benchmark based on credit and option market data
title_sub	deviation of a risk benchmark based on credit and option market data
topic	Finance Business enterprises / Finance Banks and banking Capital market Financial engineering Banking Business Finance Financial Engineering Capital Markets Bank Unternehmen Bewertung (DE-588)4006340-9 gnd Ausfallrisiko (DE-588)4205942-2 gnd Kreditderivat (DE-588)7660453-6 gnd
topic_facet	Finance Business enterprises / Finance Banks and banking Capital market Financial engineering Banking Business Finance Financial Engineering Capital Markets Bank Unternehmen Bewertung Ausfallrisiko Kreditderivat Hochschulschrift
url	https://doi.org/10.1007/978-3-319-45970-7 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029267821&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT schmidtmathias pricingandliquidityofcomplexandstructuredderivativesdeviationofariskbenchmarkbasedoncreditandoptionmarketdata

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