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A unified approach to Credit Default Swaption and Constant Maturity Credit Default Swap valuation
- In this paper we examine the pricing of arbitrary credit derivatives with the Libor Market Model with Default Risk. We show, how to setup the Monte Carlo-Simulation efficiently and investigate the accuracy of closed-form solutions for Credit Default Swaps, Credit Default Swaptions and Constant Maturity Credit Default Swaps. In addition we derive a new closed-form solution for Credit Default Swaptions which allows for time-dependent volatility and abitrary correlation structure of default intensities.1
Author: | M. Krekel, J. Wenzel |
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URN: | urn:nbn:de:hbz:386-kluedo-14596 |
Series (Serial Number): | Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (96) |
Document Type: | Report |
Language of publication: | English |
Year of Completion: | 2006 |
Year of first Publication: | 2006 |
Publishing Institution: | Fraunhofer-Institut für Techno- und Wirtschaftsmathematik |
Creating Corporation: | Fraunhofer ITWM |
Date of the Publication (Server): | 2006/11/15 |
Tag: | Constant Maturity Credit Default Swap; Credit Default Swaption; LIBOR market model; credit risk Constant Maturity Credit Default Swap; Credit Default Swaption; LIBOR market model; credit risk |
Faculties / Organisational entities: | Fraunhofer (ITWM) |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |