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Singular perturbation methods in credit derivative modeling

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TypeOfResource
Text
TitleInfo (ID = T-1)
Title
Singular perturbation methods in credit derivative modeling
SubTitle
PartName
PartNumber
NonSort
Identifier (displayLabel = ); (invalid = )
ETD_2352
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052121
Language (objectPart = )
LanguageTerm (authority = ISO639-2); (type = code)
eng
Genre (authority = marcgt)
theses
Subject (ID = SBJ-1); (authority = RUETD)
Topic
Mathematics
Subject (ID = SBJ-2); (authority = ETD-LCSH)
Topic
Credit derivatives--Mathematical models
Subject (ID = SBJ-3); (authority = ETD-LCSH)
Topic
Stochastic processes
Abstract
This thesis introduces the dynamical pricing model and
approximation method in pricing a "Collateralized Debt
Obligation" (CDO). For this purpose we use a two-dimensional, self-affecting Markov process of discrete-valued aggregate loss process and stochastic factor process in its intensity. We review several models for pricing of multi-name credit derivative
products and explain in detail a two-dimensional Markov intensity model proposed by Halperin and Arnsdorf.
Using the model by Halperin and Arnsdorf, we derive the Kolmogorov forward partial differential equation for the transition density function of the underlying two-dimensional Markov process. We use the singular perturbation method to obtain an approximate solution
to this partial differential equation in the case of a fast mean reverting stochastic intensity model. We perform an error analysis to determine the accuracy of our approximate solution.
PhysicalDescription
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electronic resource
Extent
vi, 80 p.
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application/pdf
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text/xml
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references (p. 78-79)
Note (type = statement of responsibility)
by Jawon Koo
Name (ID = NAME-1); (type = personal)
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Koo
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Jawon
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1976-
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Jawon Koo
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Feehan
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Paul
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chair
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Advisory Committee
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Paul M.N. Feehan
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Ocone
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Daniel
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internal member
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Advisory Committee
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Daniel Ocone
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Gundy
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Richard
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internal member
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Advisory Committee
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Richard Gundy
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NamePart (type = family)
Chen
NamePart (type = given)
Ren-Raw
Role
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outside member
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Advisory Committee
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Ren-Raw Chen
Name (ID = NAME-1); (type = corporate)
NamePart
Rutgers University
Role
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degree grantor
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Graduate School - New Brunswick
Role
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school
OriginInfo
DateCreated (point = ); (qualifier = exact)
2010
DateOther (qualifier = exact); (type = degree)
2010-01
Place
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xx
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
RelatedItem (type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier (type = local)
rucore19991600001
Location
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NjNbRU
Identifier (type = doi)
doi:10.7282/T3FQ9WRD
Genre (authority = ExL-Esploro)
ETD doctoral
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Rights

RightsDeclaration (AUTHORITY = GS); (ID = rulibRdec0006)
The author owns the copyright to this work.
Copyright
Status
Copyright protected
Notice
Note
Availability
Status
Open
Reason
Permission or license
Note
RightsHolder (ID = PRH-1); (type = personal)
Name
FamilyName
Koo
GivenName
Jawon
Role
Copyright Holder
RightsEvent (ID = RE-1); (AUTHORITY = rulib)
Type
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Label
Place
DateTime
2010-01-02 23:17:47
Detail
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Role
Copyright holder
Name
Jawon Koo
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject (ID = AO-1); (AUTHORITY = rulib)
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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Technical

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ETD
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application/pdf
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application/x-tar
FileSize (UNIT = bytes)
419840
Checksum (METHOD = SHA1)
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