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Pricing and Liquidity of Complex and Structured Derivatives - Deviation of a Risk Benchmark Based on Credit and Option Market Data (Paperback, 1st ed. 2016) Loot Price: R1,796
Discovery Miles 17 960
Repayment Terms: R168 pm x 12*
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Pricing and Liquidity of Complex and Structured Derivatives - Deviation of a Risk Benchmark Based on Credit and Option Market...

Pricing and Liquidity of Complex and Structured Derivatives - Deviation of a Risk Benchmark Based on Credit and Option Market Data (Paperback, 1st ed. 2016)

Mathias Schmidt

Series: SpringerBriefs in Finance

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Loot Price R1,796 Discovery Miles 17 960 | Repayment Terms: R168 pm x 12*

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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.

General

Imprint: Springer International Publishing AG
Country of origin: Switzerland
Series: SpringerBriefs in Finance
Release date: September 2016
First published: 2016
Authors: Mathias Schmidt
Dimensions: 235 x 155 x 7mm (L x W x T)
Format: Paperback
Pages: 114
Edition: 1st ed. 2016
ISBN-13: 978-3-319-45969-1
Categories: Books > Business & Economics > Finance & accounting > Finance > Corporate finance
Books > Business & Economics > Finance & accounting > Finance > Banking
Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General
Books > Money & Finance > Banking
Books > Money & Finance > Corporate finance
Books > Money & Finance > Investment & securities > General
LSN: 3-319-45969-4
Barcode: 9783319459691

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