A fractional credit model with long range dependent default rate

DOI10.1016/J.SPA.2012.12.006MaRDI QIDQ1939342zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, Holger Fink, Claudia Klüppelberg

Publication date 4 March 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2012.12.006

zbMATH Keywords

credit riskdefault ratedefaultable bondderivatives pricingfractional Brownian motionfractional Vasicek modelhazard rateinterest ratelong-range dependencemacroeconomic variables processoption pricingpredictionshort rateWick product

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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