DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL

DOI10.14317/jami.2013.711zbMath1274.91480OpenAlexW2006724607MaRDI QIDQ2855153

Armand Ngoupeyou, Stéphane Goutte

Publication date: 24 October 2013

Published in: Journal of applied mathematics & informatics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/64c49a9e11e6dbab11597993262cd1d091586bc6

zbMATH Keywords

regime switchingcredit ratingdefaultable bondMarkov copulaconditional Laplace transform

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (5)

Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions ⋮ Regime-switching stochastic volatility model: estimation and calibration to VIX options ⋮ Variance swaps under the threshold Ornstein–Uhlenbeck model ⋮ Bessel bridges decomposition with varying dimension: applications to finance ⋮ Conditional Markov chains: properties, construction and structured dependence

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