Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
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Publication:3652704
DOI10.1080/13504860902765545zbMath1178.91066MaRDI QIDQ3652704
Evan Papageorgiou, Ronnie Sircar
Publication date: 16 December 2009
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860902765545
stochastic volatility; asymptotic approximation; multiple time scales; top-down; collateralized debt obligations; intensity-based model; bottom-up; homogeneous-group factor models
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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GRAPHICAL MODELS FOR CORRELATED DEFAULTS, Utility valuation of multi-name credit derivatives and application to CDOs, Pricing basket default swaps in a tractable shot noise model, Multiscale analysis on the pricing of intensity-based defaultable bonds, Asymptotic expansion formula of option price under multifactor Heston model
Uses Software
Cites Work
- Interest rate models -- theory and practice. With smile, inflation and credit
- Two singular diffusion problems
- Multiscale Intensity Models for Single Name Credit Derivatives
- BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
- On the Fast Fourier Transform Inversion of Probability Generating Functions
- Singular Perturbations in Option Pricing
- Stochastic Volatility Corrections for Interest Rate Derivatives
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