| Type of Document |
Dissertation |
| Author |
Meng, Chao
|
| Author's Email Address |
cmeng@math.lsu.edu, cm544@cornell.edu |
| URN |
etd-07022008-143903 |
| Title |
Stochastic and Copula Models for Credit Derivatives |
| Degree |
Doctor of Philosophy (Ph.D.) |
| Department |
Mathematics |
| Advisory Committee |
| Advisor Name |
Title |
| Sengupta, Ambar N. |
Committee Chair |
| Cochran, George W. |
Committee Member |
| Davidson, Mark G. |
Committee Member |
| Perlis, Robert V. |
Committee Member |
| Sundar, Padmanaban |
Committee Member |
| Chance, Donald M. |
Dean's Representative |
|
| Keywords |
- intensity
- tranche
- Gaussian copula
- large-N limit
- Collateralized Debt Obligations
- Credit Default Swaps
- CDS
- duration
- CDO
- financial derivative
- gamma
- correlation
- passage time
- stopping time
|
| Date of Defense |
2008-05-08 |
| Availability |
unrestricted |
Abstract
We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, we prove several results on the sensitivity of quantities connected with the hitting times to parameters of the model, as well as the large-N behavior. We
discuss the relationship of these results to certain credit derivative instruments. Relevant simulations are presented.
|
| Files |
| Filename |
Size |
Approximate Download Time
(Hours:Minutes:Seconds)
|
| 28.8 Modem |
56K Modem |
ISDN (64 Kb) |
ISDN (128 Kb) |
Higher-speed Access |
| |
Meng_diss.pdf |
804.53 Kb |
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00:01:54 |
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