17. Pricing and Hedging with Equity-Credit Models

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Benjamin Herzog and
  2. Julien Turc

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch17

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Pricing and Hedging with Equity-Credit Models, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch17

Author Information

  1. Société Générale

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • credit default swap;
  • equity-credit model;
  • value credit derivatives;
  • capital structure arbitrage;
  • equity volatility

Summary

This chapter contains sections titled:

  • Introduction

  • Introducing the “Smile to Credit” Pricing Model

  • A Market Model: Fitting the S2C Model

  • Conclusion

  • Appendix: From Stochastic Volatility to Local Volatility