Default Times in a Continuous-Time Markovian Regime Switching Model

DOI10.1080/07362994.2011.598792MaRDI QIDQ3094223zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu

Publication date 21 October 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2011.598792

zbMATH Keywords

coupled PDEsdefault timeshitting time distributionproduct density processesregime-switching Merton model

Mathematics Subject Classification ID

Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)

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Cites work

• Filtering with discrete state observations
• Functional Integration and Partial Differential Equations. (AM-109)
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• On models of default risk.
• The pricing of options and corporate liabilities
• Utility-based indifference pricing in regime-switching models

Cited in

(11)

• Markov chain model with catastrophe to determine mean time to default of credit risky assets
• Pricing credit derivatives under a correlated regime-switching hazard processes model
• On the default probability in a regime-switching regulated market
• scientific article; zbMATH DE number 1642331 (Why is no real title available?)
• Defaultable bond pricing using regime switching intensity model
• A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
• Absence of firm default in the two-jump model
• Nonexistence of Markovian time dynamics for graphical models of correlated default
• Default times in a continuous time Markov chain economy
• Explicit computations for some Markov modulated counting processes
• A fast algorithm for numerical solutions to Fortet's equation

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