Modelling defaultable contingent claims has attracted a lot of interest in recent years, motivated in particular by the Late-2000s Financial Crisis. In several papers various approaches on the subject have been made. This thesis tries to summarize these results and derive explicit formulas for the prices of financial derivatives with credit risk. It is divided into two main parts. The first one is devoted to the well-known theory of modelling the default risk while the second one presents the results concerning pricing of the defaultable models that we obtained ourselves.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-16052 |
| Date | January 2011 |
| Creators | Antczak, Magdalena, Leniec, Marta |
| Publisher | Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0022 seconds