Interest rate derivatives are instruments whose payoffs depend in some way on interest rates. To price them, it involves constructing a model to describe the probabilistic behavior of interest rates. This thesis is concerned with the above two topic: calibrating interest rate models under credit risk
The credit default swap model is designed to price the credit default swap under a constant hazard r...
We examine several estimation methods of one of the most useful instruments in interest rate risk ma...
International audienceCredit risk - more specifically, default risk - is introduced in various class...
This thesis studies the estimation of credit exposure arising from a portfolio of interest rate deri...
This thesis is focused on the study of advanced methods of interest rate mo- dels calibration. The t...
One of the first mathematical models to describe the interest rate over time was the Vasicek model (...
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/he...
A calibration procedures of the Default Correlation model is presented. There are two principal modi...
The increased use of financial derivatives like interest rate and currency swap contracts has drawn ...
The hazard rate curve defines the default probability of an obligor, serving as one of the fundament...
This thesis gives an introduction to the principles of modern interest rate theory. After covering t...
We study methods to simulate term structures in order to measure interest rate risk more accurately....
Nowadays there have been developed many instruments to transfer credit risk. These instruments are c...
For the pricing of interest rate derivatives various stochastic interest rate models are used. The s...
Title: One factor interest rate models Author: Matúš Jambor Department: Department of Probability an...
The credit default swap model is designed to price the credit default swap under a constant hazard r...
We examine several estimation methods of one of the most useful instruments in interest rate risk ma...
International audienceCredit risk - more specifically, default risk - is introduced in various class...
This thesis studies the estimation of credit exposure arising from a portfolio of interest rate deri...
This thesis is focused on the study of advanced methods of interest rate mo- dels calibration. The t...
One of the first mathematical models to describe the interest rate over time was the Vasicek model (...
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/he...
A calibration procedures of the Default Correlation model is presented. There are two principal modi...
The increased use of financial derivatives like interest rate and currency swap contracts has drawn ...
The hazard rate curve defines the default probability of an obligor, serving as one of the fundament...
This thesis gives an introduction to the principles of modern interest rate theory. After covering t...
We study methods to simulate term structures in order to measure interest rate risk more accurately....
Nowadays there have been developed many instruments to transfer credit risk. These instruments are c...
For the pricing of interest rate derivatives various stochastic interest rate models are used. The s...
Title: One factor interest rate models Author: Matúš Jambor Department: Department of Probability an...
The credit default swap model is designed to price the credit default swap under a constant hazard r...
We examine several estimation methods of one of the most useful instruments in interest rate risk ma...
International audienceCredit risk - more specifically, default risk - is introduced in various class...
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