The Rebate Value Process with Some Applications

• Main Author: Welch, Nathan M
• Format: Dissertation
• Language: English
• Published: ProQuest Dissertations & Theses 01.01.2013
• Subjects: Applied Mathematics; Arbitrage; Credit default swaps; Decomposition; Derivatives; Finance; Hypotheses; Integrals; Interest rate swaps; Investments; Present value; Random variables; Valuation; Zero coupon bonds

In the pricing of credit derivatives default is modelled as a stopping time and prices are typically determined by separation of cash-flows before and at default. In a general risk-neutral valuation setting, this technique suggests the decomposition of an asset which holds even if the asset is not c...