The pricing of credit risky securities under stochastic interest rate model with default correlation. (Q2249860): Difference between revisions

The authors study the pricing of credit derivatives, most prominently of credit default swaps. They study a model where the default rates of all the parties involved are correlated, and where there may appear a contagion effect. Moreover, the default rate may depend on the default-free interest rate, which is given by an Ornstein-Uhlenbeck jump diffusion. This dependency on the interest rate is what makes the current paper more general than a previous paper by the authors [J. Appl. Math. 2011, Article ID 158020, 20 p. (2011; Zbl 1223.91039)].