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02404nam a22004575i 4500 |
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978-3-319-45970-7 |
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DE-He213 |
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20160922105229.0 |
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cr nn 008mamaa |
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160922s2016 gw | s |||| 0|eng d |
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|a 9783319459707
|9 978-3-319-45970-7
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|a 10.1007/978-3-319-45970-7
|2 doi
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|d GrThAP
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|a Schmidt, Mathias.
|e author.
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|a Pricing and Liquidity of Complex and Structured Derivatives
|h [electronic resource] :
|b Deviation of a Risk Benchmark Based on Credit and Option Market Data /
|c by Mathias Schmidt.
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|a Cham :
|b Springer International Publishing :
|b Imprint: Springer,
|c 2016.
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| 300 |
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|a XVII, 114 p. 32 illus., 16 illus. in color.
|b online resource.
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 347 |
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|a text file
|b PDF
|2 rda
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| 490 |
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|a SpringerBriefs in Finance,
|x 2193-1720
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| 505 |
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|a 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.
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|a 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.
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|a Finance.
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|a Business enterprises
|x Finance.
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|a Banks and banking.
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|a Capital market.
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|a Financial engineering.
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|a Finance.
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|a Banking.
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|a Business Finance.
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| 650 |
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|a Financial Engineering.
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| 650 |
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|a Capital Markets.
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| 710 |
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|a SpringerLink (Online service)
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|t Springer eBooks
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| 776 |
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|i Printed edition:
|z 9783319459691
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| 830 |
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|a SpringerBriefs in Finance,
|x 2193-1720
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| 856 |
4 |
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|u http://dx.doi.org/10.1007/978-3-319-45970-7
|z Full Text via HEAL-Link
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| 912 |
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|a ZDB-2-ECF
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| 950 |
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|a Economics and Finance (Springer-41170)
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