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Pricing and Liquidity of Complex and Structured Derivatives = Deviation of a Risk Benchmark Based on Credit and Option Market Data /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Pricing and Liquidity of Complex and Structured Derivatives/ by Mathias Schmidt.
其他題名:	Deviation of a Risk Benchmark Based on Credit and Option Market Data /
作者:	Schmidt, Mathias.
面頁冊數:	XVII, 114 p. 32 illus., 16 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Banks and banking. -
電子資源:	https://doi.org/10.1007/978-3-319-45970-7
ISBN:	9783319459707

Pricing and Liquidity of Complex and Structured Derivatives = Deviation of a Risk Benchmark Based on Credit and Option Market Data /
Schmidt, Mathias.

Pricing and Liquidity of Complex and Structured DerivativesDeviation of a Risk Benchmark Based on Credit and Option Market Data /[electronic resource] :by Mathias Schmidt. - 1st ed. 2016. - XVII, 114 p. 32 illus., 16 illus. in color.online resource. - SpringerBriefs in Finance,2193-1720. - SpringerBriefs in Finance,.

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.

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.

ISBN: 9783319459707

Standard No.: 10.1007/978-3-319-45970-7doiSubjects--Topical Terms:

556379
Banks and banking.

LC Class. No.: HG1501-3550

Dewey Class. No.: 332.1

Pricing and Liquidity of Complex and Structured Derivatives = Deviation of a Risk Benchmark Based on Credit and Option Market Data /
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