Pricing and Liquidity of Complex and Structured Derivatives / Schmidt, Mathias (2016)  

Público ISBD Título : Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data Tipo de documento: documento electrónico Autores: Schmidt, Mathias ; SpringerLink (Online service) Editorial: Cham : Springer International Publishing Fecha de publicación: 2016 Otro editor: Imprint: Springer Colección: SpringerBriefs in Finance, ISSN 2193-1720 Número de páginas: XVII, 114 p. 32 illus., 16 illus. in color Il.: online resource ISBN/ISSN/DL: 978-3-319-45970-7 Idioma : Inglés (eng) Palabras clave: Finance  Business  enterprises  Banks  and  banking  Capital  market  Financial  engineering  Banking  Engineering  Markets Clasificación: 330 Economía en general Resumen: 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 Nota de contenido: Introduction -- Different Approaches on CDS Valuation - an Empirical Study -- Credit Default Swaps from an Equity Option View -- Strike of Default: Sensitivity and Times Series Analysis -- Conclusion En línea: http://dx.doi.org/10.1007/978-3-319-45970-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=41718 Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data [documento electrónico] / Schmidt, Mathias ; SpringerLink (Online service) . - Cham : Springer International Publishing : Imprint: Springer, 2016 . - XVII, 114 p. 32 illus., 16 illus. in color : online resource. - (SpringerBriefs in Finance, ISSN 2193-1720) . ISBN : 978-3-319-45970-7 Idioma : Inglés (eng) Palabras clave: Finance  Business  enterprises  Banks  and  banking  Capital  market  Financial  engineering  Banking  Engineering  Markets Clasificación: 330 Economía en general Resumen: 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 Nota de contenido: Introduction -- Different Approaches on CDS Valuation - an Empirical Study -- Credit Default Swaps from an Equity Option View -- Strike of Default: Sensitivity and Times Series Analysis -- Conclusion En línea: http://dx.doi.org/10.1007/978-3-319-45970-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=41718

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