This thesis introduces the dynamical pricing model and approximation method in pricing a "Collateralized Debt Obligation" (CDO). For this purpose we use a two-d

In recent years people have seen a rapidly growing market for credit derivatives. Among these traded credit derivatives, a growing interest has been shown on mu

From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling ana

In recent years people have seen a rapidly growing market for credit derivatives. Among these traded credit derivatives, a growing interest has been shown on mu

We study the pricing of defaultable derivatives, such as bonds, bond options, and credit default swaps in the reduced form framework of intensity-based models.