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

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...

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Bibliographic Details
Main Author: Low, Kah Choon
Other Authors: School of Physical and Mathematical Sciences
Format: Theses and Dissertations
Language:English
Published: 2014
Subjects:
Online Access:http://hdl.handle.net/10356/61352
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Institution: Nanyang Technological University
Language: English
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