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Pricing and hedging of defaultable claims in discontinuous market.

dc.contributor.advisorTchoukouegno Ngnotchouye, Jean Medard.
dc.contributor.advisorPamen, Olivier Menoukeu.
dc.contributor.authorOkoye-Ogbalu, Izuchukwu.
dc.date.accessioned2018-02-27T07:12:08Z
dc.date.available2018-02-27T07:12:08Z
dc.date.created2017
dc.date.issued2017
dc.descriptionMaster of Science in Statistics. University of KwaZulu-Natal, Pietermaritzburg 2017.en_US
dc.description.abstractCredit risk has become one of the highest-pro le risk facing participants in the nancial markets. In this dissertation, we study the pricing and hedging of defaultable claim in a discontinuous market. Here, we present the pricing of credit default swap under stochastic intensity within the set up of a generic reduced form credit risk model. In this context, we present di erent approaches to pricing and hedging of defaultable claim in a discontinuous market and then pro er results concerning the trading of credit default swap. We rst assume that the default intensity is deterministic and the rate of interest is equal to zero. We derive a closed-form solution for replicating strategy for an arbitrary non-dividend paying defaultable claim. We then extend the established results under deterministic intensity to the case of stochastic intensity, where the objective is to hedge both default (jump) risk and the spread (volatility) risk.en_US
dc.identifier.urihttp://hdl.handle.net/10413/15060
dc.language.isoen_ZAen_US
dc.subjectTheses - Mathematics and Computer Science Education.en_US
dc.titlePricing and hedging of defaultable claims in discontinuous market.en_US
dc.title.alternativePricingen_US
dc.typeThesisen_US

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