Pricing Credit Derivatives in a 'Libor Market Model'

Damm, Hanno

Editore: GRIN Verlag, 2013
ISBN 10: 3638709140 / ISBN 13: 9783638709149
Usato / Quantità: 0
Copie del libro da altre librerie
Mostra tutte le  copie di questo libro

Libro

Purtroppo questa copia non è più disponibile. Di seguito ti proponiamo una lista di copie simili.

Descrizione:

Gently used. Expect delivery in 20 days. Codice inventario libreria

Su questo libro:

Riassunto: Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut für Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, comment: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Modelis extended following Schoenbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. , abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Schönbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Schönbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps. The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Dati bibliografici

Titolo: Pricing Credit Derivatives in a 'Libor ...
Casa editrice: GRIN Verlag
Data di pubblicazione: 2013

Condizione libro: very good

I migliori risultati di ricerca su AbeBooks

1.

Damm, Hanno
Editore: GRIN Verlag (2013)
ISBN 10: 3638709140 ISBN 13: 9783638709149
Nuovi Brossura Quantità: 15
Print on Demand
Da
English-Book-Service Mannheim
(Mannheim, Germania)
Valutazione libreria
[?]

Descrizione libro GRIN Verlag, 2013. Condizione libro: New. This item is printed on demand for shipment within 3 working days. Codice libro della libreria LP9783638709149

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 44,99
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 4,00
Da: Germania a: U.S.A.
Destinazione, tempi e costi

2.

Hanno Damm
Editore: Grin Verlag Aug 2007 (2007)
ISBN 10: 3638709140 ISBN 13: 9783638709149
Nuovi Taschenbuch Quantità: 1
Print on Demand
Da
AHA-BUCH GmbH
(Einbeck, Germania)
Valutazione libreria
[?]

Descrizione libro Grin Verlag Aug 2007, 2007. Taschenbuch. Condizione libro: Neu. 213x148x6 mm. This item is printed on demand - Print on Demand Titel. - Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut für Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Schönbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Schönbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps.The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management. 88 pp. Englisch. Codice libro della libreria 9783638709149

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 44,99
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 29,50
Da: Germania a: U.S.A.
Destinazione, tempi e costi

3.

Damm, Hanno
Editore: GRIN Verlag (2016)
ISBN 10: 3638709140 ISBN 13: 9783638709149
Nuovi Paperback Quantità: 1
Print on Demand
Da
Ria Christie Collections
(Uxbridge, Regno Unito)
Valutazione libreria
[?]

Descrizione libro GRIN Verlag, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9783638709149_lsuk

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 57,99
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 4,26
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

4.

Hanno Damm
Editore: GRIN Verlag
ISBN 10: 3638709140 ISBN 13: 9783638709149
Nuovi Paperback Quantità: 20
Da
BuySomeBooks
(Las Vegas, NV, U.S.A.)
Valutazione libreria
[?]

Descrizione libro GRIN Verlag. Paperback. Condizione libro: New. Paperback. 88 pages. Dimensions: 8.1in. x 5.8in. x 0.3in.Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1, 0, University of Bonn (Institut fr Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, comment: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Modelis extended following Schoenbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. , abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Schnbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Schnbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps. The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Codice libro della libreria 9783638709149

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 78,29
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,74
In U.S.A.
Destinazione, tempi e costi

5.

Damm, Hanno
Editore: GRIN Verlag (2013)
ISBN 10: 3638709140 ISBN 13: 9783638709149
Nuovi Paperback Quantità: 1
Da
Irish Booksellers
(Rumford, ME, U.S.A.)
Valutazione libreria
[?]

Descrizione libro GRIN Verlag, 2013. Paperback. Condizione libro: New. book. Codice libro della libreria 3638709140

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 90,02
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
In U.S.A.
Destinazione, tempi e costi

6.

Hanno Damm
Editore: GRIN Verlag, Germany (2013)
ISBN 10: 3638709140 ISBN 13: 9783638709149
Nuovi Paperback Quantità: > 20
Print on Demand
Da
The Book Depository EURO
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro GRIN Verlag, Germany, 2013. Paperback. Condizione libro: New. 210 x 148 mm. Language: English . Brand New Book ***** Print on Demand *****.Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut fur Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, comment: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Modelis extended following Schoenbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model., abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Schonbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Schonbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps. The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management. Codice libro della libreria AAV9783638709149

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 91,51
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,57
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

7.

Damm, Hanno
Editore: GRIN Verlag (2013)
ISBN 10: 3638709140 ISBN 13: 9783638709149
Usato Quantità: 1
Da
Nearfine Books
(Brooklyn, NY, U.S.A.)
Valutazione libreria
[?]

Descrizione libro GRIN Verlag, 2013. Condizione libro: very good. Gently used. Expect delivery in 20 days. Codice libro della libreria 9783638709149-3

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra usato
EUR 250,15
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,79
In U.S.A.
Destinazione, tempi e costi