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

• Κύριος συγγραφέας: Schmidt, Mathias (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Σειρά: SpringerBriefs in Finance,
• Θέματα: Finance.; Business enterprises > Finance.; Banks and banking.; Capital market.; Financial engineering.; Banking.; Business Finance.; Financial Engineering.; Capital Markets.

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...