Tid: 7 april 2003 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Anders Holst
Titel: Utility Based Pricing of Credit Risk Derivatives in Incomplete Markets. (Examensarbete)
The aim of this thesis is to price Event Sensitive Contingent Claims (ESCC) in a utility based setup. A method for pricing in discrete time is explored, where the individual investor is studied, and the price is based on the extra utility added by the ESCC.
Three examples are considered, a default digital, a defaultable commercial bond, and a call option with counterparty default risk. The example with the default digital is more rigorous with dynamic default intensity and different risk aversion in addition to the basic pricing.
A brief survey over credit risk and credit risk derivatives is also conducted.
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