Pricing credit derivatives under a correlated regime-switching hazard processes model

DOI10.3934/jimo.2016079zbMath1361.91060MaRDI QIDQ2397578

Yinghui Dong, Kam-Chuen Yuen, Guo-jing Wang

Publication date: 22 May 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016079

zbMATH Keywords

Markov chain; hazard process; \(k\)th-to-default basket swap; multivariate regime-switching shot noise process

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

60J27: Continuous-time Markov processes on discrete state spaces

91G40: Credit risk

Related Items

Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate, Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model, The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation, Basket credit derivative pricing in a Markov chain model with interacting intensities

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