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  • © 2016

Pricing and Liquidity of Complex and Structured Derivatives

Deviation of a Risk Benchmark Based on Credit and Option Market Data

Authors:

  1. Mathias Schmidt

    1. Hamburg, Germany

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Part of the book series: SpringerBriefs in Finance (BRIEFSFINANCE)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-xvii
    PDF

  2. Introduction

    • Mathias Schmidt
    Pages 1-7

  6. Conclusion

    • Mathias Schmidt
    Pages 93-95

  7. Back Matter

    Pages 97-114
    PDF
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About this book

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.
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Keywords

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Authors and Affiliations

  • Hamburg, Germany

    Mathias Schmidt

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About the author

Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation
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Bibliographic Information

  • Book Title: Pricing and Liquidity of Complex and Structured Derivatives

  • Book Subtitle: Deviation of a Risk Benchmark Based on Credit and Option Market Data

  • Authors: Mathias Schmidt

  • Series Title: SpringerBriefs in Finance

  • DOI: https://doi.org/10.1007/978-3-319-45970-7

  • Publisher: Springer Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Author(s) 2016

  • Softcover ISBN: 978-3-319-45969-1Published: 30 September 2016

  • eBook ISBN: 978-3-319-45970-7Published: 31 October 2016

  • Series ISSN: 2193-1720

  • Series E-ISSN: 2193-1739

  • Edition Number: 1

  • Number of Pages: XVII, 114

  • Number of Illustrations: 16 b/w illustrations, 16 illustrations in colour

  • Topics: Banking, Business Finance, Financial Engineering, Capital Markets

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Buy it now

eBook USD 39.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

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