Title page for etd-0802106-185343


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URN etd-0802106-185343
Author Kai-hsiang Chang
Author's Email Address m932040012@student.nsysu.edu.tw
Statistics This thesis had been viewed 5066 times. Download 3937 times.
Department Applied Mathematics
Year 2005
Semester 2
Degree Master
Type of Document
Language English
Title Derivative pricing based on time series models of default probabilities
Date of Defense 2006-06-14
Page Count 43
Keyword
  • reduced-form
  • structural form
  • log odds ratios
  • derivative pricing
  • default probabilities
  • autoregressive
  • credit risk
  • Abstract 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.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Ray-Bing Chen - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0802106-185343.pdf
  • indicate access worldwide
    Date of Submission 2006-08-02

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