An intensity-based approach for equity modeling

DOI10.1002/ASMB.883MaRDI QIDQ2862438zbMATH OpenOpenAlexFDO

Authors M. Escobar, T. Friederich, M. Krayzler, R. Zagst, L. Seco

Publication date 15 November 2013

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.883

zbMATH Keywords

default processequity modelingKalman filterreduced-form model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Corporate finance (dividends, real options, etc.) (91G50) Filtering in stochastic control theory (93E11)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A short history of stochastic integration and mathematical finance: the early years, 1880--1970
• A theory of the term structure of interest rates
• Affine processes and applications in finance
• An equilibrium characterization of the term structure
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• On Cox processes and credit risky securities
• Option pricing when underlying stock returns are discontinuous
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• Pricing interest-rate-derivative securities
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• The Kolmogorov-Smirnov Test for Goodness of Fit
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(3)

• Atlas models of equity markets
• Multidimensional structural credit modeling under stochastic volatility
• Efficiently pricing double barrier derivatives in stochastic volatility models

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