Pricing and Liquidity of Complex and Structured Derivatives is popular PDF and ePub book, written by Mathias Schmidt in 2016-10-31, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Pricing and Liquidity of Complex and Structured Derivatives can be Read Online from any device for your convenience.
Pricing and Liquidity of Complex and Structured Derivatives Book PDF Summary
This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.
Detail Book of Pricing and Liquidity of Complex and Structured Derivatives PDF
- Author : Mathias Schmidt
- Release : 31 October 2016
- Publisher : Springer
- ISBN : 9783319459707
- Genre : Business & Economics
- Total Page : 125 pages
- Language : English
- PDF File Size : 10,6 Mb
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