• Login
    View Item 
    •   ResearchSpace Home
    • College of Agriculture, Engineering and Science
    • School Mathematics, Statistics and Computer Science
    • Statistics
    • Masters Degrees (Statistics)
    • View Item
    •   ResearchSpace Home
    • College of Agriculture, Engineering and Science
    • School Mathematics, Statistics and Computer Science
    • Statistics
    • Masters Degrees (Statistics)
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Stochastic volatility effects on defaultable bonds.

    Thumbnail
    View/Open
    Thesis (515.1Kb)
    Date
    2009
    Author
    Mkize, Thembisile.
    Metadata
    Show full item record
    Abstract
    We study the eff ects of stochastic volatility of defaultable bonds using the first -passage structural approach. In this approach Black and Cox (1976) argued that default can happen at any time. This then led to the development of afirst-passage model, in which a rm (company) default occurs when its value falls to a barrier. In the first-passage model the rm debt is considered to be a single pure discount bond and default occurs only if the rm value falls below the face value of the bond at maturity. Here the firm's debt can be viewed as a portfolio composed of a risk-free bond and a short-put option on the value of a rm. The classic Black-Scholes-Merton model only considers a single liability and the solvency is tested at the maturity date, while the extended Black-Scholes-Merton model allows for default at any time before maturity to cater for more complex capital structures and was delivered by Geske, Black-Cox, Leland, Leland and Toft and others. In this work a review of the eff ect of stochastic volatility on defaultable bonds is given. In addition a study from the first-passage structural approach and reduced-form approach is made. We also introduce symmetry analysis to study some of the equations that appear in option-pricing models. This approach is quite recent and has produced successful results. In this work we lay the foundation of this method. Keywords: Stochastic Volatility, Defaultable bonds, Lie Symmetries.
    URI
    http://hdl.handle.net/10413/8153
    Collections
    • Masters Degrees (Statistics) [87]

    DSpace software copyright © 2002-2013  Duraspace
    Contact Us | Send Feedback
    Theme by 
    @mire NV
     

     

    Browse

    All of ResearchSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsAdvisorsTypeThis CollectionBy Issue DateAuthorsTitlesSubjectsAdvisorsType

    My Account

    LoginRegister

    DSpace software copyright © 2002-2013  Duraspace
    Contact Us | Send Feedback
    Theme by 
    @mire NV