8. Options on Credit Default Swaps and Credit Default Indexes

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Marek Rutkowski

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch8

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) Options on Credit Default Swaps and Credit Default Indexes, 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.ch8

Publication History

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

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

SEARCH

Keywords:

  • credit default swaps;
  • protection buyer;
  • protection seller;
  • Black formula;
  • Brownian motion

Summary

This chapter contains sections titled:

  • Introduction

  • Credit Default Swaps

  • Options on Credit Default Swaps

  • CIR Default Intensity Model

  • Options on Credit Default Indexes

  • Market Models for CDS Spreads

  • Acknowledgments