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확률 상관계수 모형을 이용한 바스켓 CDS의 가치 결정
- Author(s)
- Lee insu
- Advisor
- 배형옥
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2016-08
- Language
- eng
- Keyword
- Stochastic correlation
- Alternative Abstract
- There exists correlation between assets. In most of the models, people assume that the correlation is deterministic. However, correlation varies in response to the market conditions. Therefore, in this paper, we proposes a correlation model with stochastic process. Also, the jump diffusion process which includes asset correlation has been adjusted in this model. In this paper, we attempt to show the probability of $n$th-to-default within multiple assets and basket credit default swaps spread by using the stochastic correlation model.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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