Finite-time survival probability and credit default swaps pricing under geometric Lévy markets

DOI10.1016/J.INSMATHECO.2013.04.003zbMath1284.91562OpenAlexW2032124810MaRDI QIDQ2445987

Xuemiao Hao, Xuan Li, Yasutaka Shimizu

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.04.003

zbMATH Keywords

Lévy processcredit default swapfirst-passage timestructural modelfinite-time survival probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (8)

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform ⋮ Survival energy models for mortality prediction and future prospects ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ WHY DOES A HUMAN DIE? A STRUCTURAL APPROACH TO COHORT-WISE MORTALITY PREDICTION UNDER SURVIVAL ENERGY HYPOTHESIS ⋮ A revised version of the Cathcart \& El-Jahel model and its application to CDS market ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

Cites Work

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• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
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