Credit risk in the pricing and hedging of derivatives

Frédéric Abergel (frederic.abergel@ecp.fr)
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Frédéric Abergel: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec

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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.

Date: 2008-03-27
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Published in 1st Financial Risks International Forum, Paris, Mar 2008, France

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