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

• Main Author: Low, Kah Choon
• Other Authors: School of Physical and Mathematical Sciences
• Format: Theses and Dissertations
• Language: English
• Published: 2014
• Subjects: DRNTU::Science::Mathematics::Probability theory; DRNTU::Business::Finance::Derivatives; DRNTU::Engineering::Mathematics and analysis
• Online Access: http://hdl.handle.net/10356/61352
• Institution: Nanyang Technological University

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...