The pricing of credit risky securities under stochastic interest rate model with default correlation. (Q2249860)

The authors study the pricing of credit derivatives, most prominently of credit default swaps. They study a model where the default rates of all the parties involved are correlated, and where there may appear a contagion effect. Moreover, the default rate may depend on the default-free interest rate, which is given by an Ornstein-Uhlenbeck jump diffusion. This dependency on the interest rate is what makes the current paper more general than a previous paper by the authors [J. Appl. Math. 2011, Article ID 158020, 20 p. (2011; Zbl 1223.91039)].