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Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (Springerbriefs in Finance) (Paperback)

Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (Springerbriefs in Finance) Cover Image
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Description


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.

About the Author


Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation

Product Details
ISBN: 9783319459691
ISBN-10: 3319459694
Publisher: Springer
Publication Date: September 30th, 2016
Pages: 114
Language: English
Series: Springerbriefs in Finance