CDS Delivery Option: Better Pricing of Credit Default Swaps
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For traders trying to navigate the increasingly volatile credit default swap market, CDS Delivery Option provides worked-out examples, over 30 charts, a case study of Delphi, and detailed explanations of how the subprime crisis caused the credit crisis and the near collapse of the GSEs. The book includes detailed information on:
- how to value a CDS contract
- how to value the delivery option
- how contract value changes when the yield curve flattens or becomes steep…





















