The pricing of credit risky securities under stochastic interest rate model with default correlation.

DOI10.1007/S10492-013-0036-0zbMath1299.91162OpenAlexW2074713558MaRDI QIDQ2249860

Anjiao Wang, Zhong-Xing Ye

Publication date: 3 July 2014

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/143507

zbMATH Keywords

credit default swapscorrelated default ratescredit risk pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

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

Cites Work

• On Cox processes and credit risky securities
• Pricing the risks of default
• The intensity model for pricing credit securities with jump diffusion and counterparty risk
• Credit risky securities valuation under a contagion model with interacting intensities
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
• Basket CDS pricing with interacting intensities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• The survival probability of mortality intensity with jump-diffusion
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Term Structures of Credit Spreads with Incomplete Accounting Information
• A General Formula for Valuing Defaultable Securities

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