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010   $a3-319-45970-8
024 7 $a10.1007/978-3-319-45970-7
035   $a(CKB)3710000000922860
035   $a(DE-He213)978-3-319-45970-7
035   $a(MiAaPQ)EBC4730856
035   $a(EXLCZ)993710000000922860
100   $a20160922d2016      u|         0
101 0 $aeng
135   $aurnn|008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aPricing and Liquidity of Complex and Structured Derivatives $eDeviation of a Risk Benchmark Based on Credit and Option Market Data /$fby Mathias Schmidt
205   $a1st ed. 2016.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2016.
215   $a1 online resource (XVII, 114 p. 32 illus., 16 illus. in color.) 
225 1 $aSpringerBriefs in Finance,$x2193-1720
311   $a3-319-45969-4 
320   $aIncludes bibliographical references at the end of each chapters.
327   $aIntroduction -- Different Approaches on CDS Valuation - an Empirical Study -- Credit Default Swaps from an Equity Option View -- Strike of Default: Sensitivity and Times Series Analysis -- Conclusion.
330   $aThis book introduces the ?strike of default? (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.
410  0$aSpringerBriefs in Finance,$x2193-1720
606   $aBanks and banking
606   $aBusiness enterprises?Finance
606   $aFinancial engineering
606   $aCapital market
606   $aBanking$3https://scigraph.springernature.com/ontologies/product-market-codes/626010
606   $aBusiness Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/512000
606   $aFinancial Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/612020
606   $aCapital Markets$3https://scigraph.springernature.com/ontologies/product-market-codes/616000
615  0$aBanks and banking.
615  0$aBusiness enterprises?Finance.
615  0$aFinancial engineering.
615  0$aCapital market.
615 14$aBanking.
615 24$aBusiness Finance.
615 24$aFinancial Engineering.
615 24$aCapital Markets.
676   $a332.0415
700   $aSchmidt$b Mathias$4aut$4http://id.loc.gov/vocabulary/relators/aut$0925430
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910148789103321
996   $aPricing and Liquidity of Complex and Structured Derivatives$92077923
997   $aUNINA