Modeling and monitoring of the price process of Credit Default Swaps
Credit derivatives are very popular on financial markets in recent days. The most liquid credit derivative is a credit default swap (CDS). In this research we investigate methods for modeling and monitoring of the price process of CDS. We study Hull and White model to calculate CDS spread and have d...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
2008
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2208 |