In recent years people have seen a rapidly growing market for credit derivatives. Among these traded credit derivatives, a growing interest has been shown on multi-name credit derivatives, whose underlying assets are a pool of defaultable securities. For a multi-name credit derivative, the key is the default dependency structure among the underlying portfolio of reference entities, instead of the individual term structure of default probabilities for each single reference entity as in the case of single-name derivative. So far, however, default dependency modeling is still the most demanding open problem in the pricing of credit derivatives. The research in this dissertation is trying to model the default dependency with aid of perturbation method, which was first proposed by Fouque, Papanicolaou and Sircar (2000) as a powerful tool to pricing options under stochastic volatility. Specifically, after a theoretic result regarding the approximation accuracy of the perturbation method and an application of this method to pricing American options under stochastic volatility by Monte Carlo approach, a multi-dimensional Merton model under stochastic volatility is studied first, and then the multi-dimensional generalization of the first-passage model under stochastic volatility comes next, which is then followed by a copula perturbed from the standard Gaussian copula.
| Identifer | oai:union.ndltd.org:NCSU/oai:NCSU:etd-03022006-170911 |
| Date | 21 March 2006 |
| Creators | ZHOU, XIANWEN |
| Contributors | Kazufumi Ito, Tao Pang, Jean-Pierre Fouque, John Seater |
| Publisher | NCSU |
| Source Sets | North Carolina State University |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://www.lib.ncsu.edu/theses/available/etd-03022006-170911/ |
| Rights | unrestricted, I hereby certify that, if appropriate, I have obtained and attached hereto a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dissertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to NC State University or its agents the non-exclusive license to archive and make accessible, under the conditions specified below, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report. |
Page generated in 0.0021 seconds