Credit risk in the pricing and hedging of derivatives - Archive ouverte HAL Access content directly
Conference Papers Year : 2009

Credit risk in the pricing and hedging of derivatives

Abstract

Credit risk - more specifically, default risk - is introduced in various classical models for option pricing. The consequences of this new parameter in terms of model calibration is studied.

Domains

Computational Finance [q-fin.CP] Analysis of PDEs [math.AP]
Fichier principal
Vignette du fichier
creditRiskInDerivatives.pdf (164.95 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Frédéric Abergel  : Connect in order to contact the contributor

https://hal.science/hal-00620847

Submitted on : Thursday, September 8, 2011-5:59:51 PM

Last modification on : Thursday, April 18, 2024-2:23:31 PM

Long-term archiving on: Friday, December 9, 2011-2:30:21 AM

Download

Dates and versions

hal-00620847 , version 1 (08-09-2011)

Identifiers

  • HAL Id : hal-00620847 , version 1

Cite

Frédéric Abergel. Credit risk in the pricing and hedging of derivatives. 1st Financial Risks International Forum, Paris, Mar 2008, France. ⟨hal-00620847⟩

Export

BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite

Collections

EC-PARIS ECP-DR MAS MICS TDS-MACS CHAIRE-FIQUANT
329 View
279 Download

Share

Gmail Facebook X LinkedIn More