The intensity model for pricing credit securities with jump diffusion and counterparty risk

DOI10.1155/2011/412565zbMath1213.91171OpenAlexW1988863269WikidataQ58693023 ScholiaQ58693023MaRDI QIDQ541467

Ruili Hao, Zhong-Xing Ye

Publication date: 7 June 2011

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/233667

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (3)

Total return swap valuation with counterparty risk and interest rate risk ⋮ The pricing of total return swap under default contagion models with jump-diffusion interest rate risk ⋮ The pricing of credit risky securities under stochastic interest rate model with default correlation.

Cites Work

• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
• The survival probability of mortality intensity with jump-diffusion
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications
• First passage times of a jump diffusion process
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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