Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes

• المؤلف الرئيسي: Low, Kah Choon
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2014
• الموضوعات: DRNTU::Science::Mathematics::Probability theory; DRNTU::Business::Finance::Derivatives; DRNTU::Engineering::Mathematics and analysis
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/61352

There are two parts in this thesis where both parts are self-contained. The first part of this thesis is on the valuation of dependent defaultable bonds under the assumption that the credit risk is of a reduced-form model, where the default time is defined as a single jump process. Our work is an...