The Firm Value Pricing Models with Counterparty Default Risk by Chan Ka Leong Thesis Supervisor: Ding Deng Department of Mathematics, University of Macau Abstract In this thesis, we discuss the idea and the history of the firm value models, which are one of four types of methods for pricing credit-risky options. In addition, we outline the framework of basic firm value modeling. Under this framework, we construct two firm value models for pricing options with counterparty default risk: one is with deterministic interest rates and the other one is with Gaussian interest rates. To price each model, we derive a closed-form formula, by applying stochastic calculus and martingale method, and provide detailed proofs. Finally, in appendix, we include the basic definitions and results about stochastic calculus and martingale theory, which are crucial for our models.