Valuing Plain-Vanilla, Binary and Idealized Credit Default Swaps without Counterparty Default Risk
碩士 === 臺灣大學 === 數學研究所 === 95 === Credit default swap (CDS) is a financial derivative which can transfer credit risk from one party to another. In this thesis, we prove that the present value of a corporate bond is equal to the present value of the Treasury bond with the same payoffs minus the presen...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/33566454147927648602 |