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1	Derivative pricing based on time series models of default probabilities Chang, Kai-hsiang 02 August 2006 (has links) In recent years, people pay much attention to derivative pricing subject to credit risk. In this paper, we proposed an autoregressive time series model of log odds ratios to price derivatives. Examples of the proposed model are given via the structural and reduced form approaches. Pricing formulae of the proposed time series models are derived for bonds and options. Furthermore, simulation studies are performed to confirm the accuracy of derived formulae. reduced-form structural form log odds ratios derivative pricing default probabilities autoregressive credit risk
2	An investigation into the mechanics and pricing of credit derivatives Eraman, Direen 11 1900 (has links) With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. / Operations Research / M.Sc. (Operations Research) Risk neutral probabilities Arbitrage free pricing Martingales Default probabilities Survival probabilities Hazard rates Forward spreads Credit derivatives Default digital swaps Asset swap packages 332.7 Credit -- Management Portfolio management Risk management
3	An investigation into the mechanics and pricing of credit derivatives Eraman, Direen 11 1900 (has links) With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. / Operations Research / M.Sc. (Operations Research) Risk neutral probabilities Arbitrage free pricing Martingales Default probabilities Survival probabilities Hazard rates Forward spreads Credit derivatives Default digital swaps Asset swap packages 332.7 Credit -- Management Portfolio management Risk management

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