A general first passage time model for multivariate credit spreads and a note on barrier option pricing [Elektronische Ressource] / vorgelegt von Stefanie Kammer

A general first-passage-time model formultivariate credit spreadsand a note on barrier option pricingInaugural-Dissertationzur Erlangung des Doktorgradesan den Naturwissenschaftlichen Fachbereichen(Mathematik)der Justus-Liebig-Universit¨at Giessenvorgelegt vonStefanie Kammer12. September 2007iiDekan:Prof. Dr. Bernd BaumannGutachter:Prof. Dr. Ludger Overbeck (Justus-Liebig-Universita¨t Giessen)Prof. Dr. Winfried Stute (Justus-Liebig-Universita¨t Giessen)externer Betreuer:Prof. Dr. Wolfgang Schmidt (Frankfurt School of Finance & Management)Disputation: November 2007Fu¨r meine Omas und OpasiiPrefaceAfter finishing my diploma in mathematics in November 2002 I was nottotally sure about doing a PhD, so I started working with KPMG as aquantitativeadvisorwheremymaintaskwastopriceanyfinancialproduct.There I was more and more convinced that I needed deeper theory for myunderstanding. I went back to the university of Giessen and got a researchpositionwithinaprojectthatisfinancedbyBMBF(Bundesministeriumfu¨rBildung und Forschung) which I gratefully acknowledge. With this disser-tation I never went back to pure mathematics, but at least I found my place– somewhere in between deep theory and pure application.I have to thank many people who helped me to come this far and made mytime so enjoyable with workshops, winterschools, coffee breaks and cock-tails:I want to thank my supervisors Prof. Dr. Ludger Overbeck, Prof. Dr.Wolfgang Schmidt, and Prof. Dr.