Pricing and Liquidity of Complex and Structured Derivatives

Deviation of a Risk Benchmark Based on Credit and Option Market Data

Business & Finance, Finance & Investing, Corporate Finance, Banks & Banking
Cover of the book Pricing and Liquidity of Complex and Structured Derivatives by Mathias Schmidt, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Mathias Schmidt ISBN: 9783319459707
Publisher: Springer International Publishing Publication: October 31, 2016
Imprint: Springer Language: English
Author: Mathias Schmidt
ISBN: 9783319459707
Publisher: Springer International Publishing
Publication: October 31, 2016
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Media Logic(s) Revisited by Mathias Schmidt
Cover of the book Creating Target Publics for Welfare Policies by Mathias Schmidt
Cover of the book Orthopedic Surgery Rotation by Mathias Schmidt
Cover of the book Electrochemistry in a Divided World by Mathias Schmidt
Cover of the book Religions and Migrations in the Black Sea Region by Mathias Schmidt
Cover of the book Decentralized Water Reclamation Engineering by Mathias Schmidt
Cover of the book Recent Developments in Chinese Urban Planning by Mathias Schmidt
Cover of the book Solidarity and the 'Refugee Crisis' in Europe by Mathias Schmidt
Cover of the book Biological Robustness by Mathias Schmidt
Cover of the book Glaciokarsts by Mathias Schmidt
Cover of the book New Perspectives on Internationalization and Competitiveness by Mathias Schmidt
Cover of the book Campylobacter spp. and Related Organisms in Poultry by Mathias Schmidt
Cover of the book Managing More-than-Moore Integration Technology Development by Mathias Schmidt
Cover of the book Trick or Truth? by Mathias Schmidt
Cover of the book Understanding Ethics and Responsibilities in a Globalizing World by Mathias Schmidt
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy