Abstract
Recent literature has highlighted joint movements between Credit Default Swap (CDS) spread and stock price volatility (or stock option implied volatility). The impact of the credit risk factor on out-of-money stock option price is documented. Some dynamically consistent framework have been proposed for the joint evaluation and estimation of stock options and CDS spreads written on the same reference name in order to integrate both market information. This thesis provides a new methodology for joint evaluation of stock option price, CDS spread and bond prices. A two-step Monte Carlo procedure is employed for calibration to the term structure of implied volatilities. An approximated default intensity rate under the reduced form model is employed for credit risk calibration. A closed-form of zero coupon bond price under Vasicek model is employed for interest rate risk calibration. Combinations of these calibration methods allow a robust and efficient estimation for the joint dynamics of risk factors from the equity market, the credit market and the bond market. Our investigation discloses the importance of cross-market information to fit the implied volatility surfaces by means of a joint dynamic model which include market risk, credit risk and the interest risk.