Οι διαδικασίες Lévy στην τιμολόγηση προκαθορισμένων πιστωτικών παραγώγων
The Lévy processes in pricing of credit default swaps
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Keywords
Τιμολόγηση πιστωτικών παραγώγων ; Credit default swaps pricing under Lévy process ; CDS pricing ; CDS ; Προκαθορισμένα πιστωτικά παράγωγα ; Lévy διαδικασίες ; Lévy ανελίξεις ; LévyAbstract
In this thesis, we will deal with the pricing of Credit Default Swaps, under the
consideration of stochastic model, which will be based on the Variance Gamma process. In
particular, we will find that such a model, which belongs to the family of structural models,
will give satisfactory results, due to empirical studies that have been carried out throughout
the years. Further, it has been observed that the empirical distribution of logarithmic returns
has excessive kurtosis and negative skewness, which it had been assumed that the logarithmic
returns follow the normal distribution and in addition the pricing was done under Geometric
Brownian Motion. Also, the model has taken into account the previous obstacles and it
succeeds in solving the cases where defaults arise after sudden shocks, by introducing jumps
into the model, which the Brownian motion cannot achieve, due to its continuous paths.
Finally, useful conclusions and applications are given.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
117Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα