Θέματα τιμολόγησης και χρήσεων των συμβολαίων ανταλλαγής πιστωτικού κινδύνου
Issues on pricing and use of the Credit Default Swaps
The topic of the present MSc thesis is the issues on pricing and use of the Credit Default Swaps. Initially all necessary theoretical terminology, use and pricing method are presented using the Cox-Ingersoll-Ross model to produce defaults intensities which are necessary for the valuation. Then a simulation example will be given, by using a code in Matlab, in order to examine the evaluation of this particular contract. In addition we will test the effectiveness of each of the model's parameters, to the results of the contracts' price. Finally we will describe our contracts' pricing algorithm step by step process of development by using Matlab. Every step is the application of the theory which has been described in the initial chapters.