We show how to price credit default options and swaps based on a four-factor defaultable term-structure model. One of the key factors is a macroeconomic factor that takes into account the impact of the general economy on the quality of firms. We derive the pricing functions and show how to...

Key Features:Combines up-to-date research and practical experience in a unique wayProvides theoretical insight and real-world expertise on new trading strategiesEmpowers practitioners with the latest theoretical insights on asset managementInternational experts from both academia and financial...