Multiscale Intensity Models for Single Name Credit Derivatives

DOI10.1080/13504860701352222MaRDI QIDQ3502204zbMATH OpenOpenAlexFDO

Authors Evan Papageorgiou, Ronnie Sircar

Publication date 22 May 2008

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860701352222

zbMATH Keywords

asymptotic approximationcredit default swapdefaultable bonddefaultable bond optiontime scales

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Valuation of credit derivatives with multiple time scales in the intensity model
• Multi-scale time-changed birth processes for pricing multi-name credit derivatives
• Asymptotic analysis for one-name credit derivatives
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
• Linear credit risk models

Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Credit Risk Modeling
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Interest rate models -- theory and practice
• Multiscale Stochastic Volatility Asymptotics
• Singular Perturbations in Option Pricing
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Stochastic Volatility Effects on Defaultable Bonds
• Term structure modelling of defaultable bonds
• The pricing of options and corporate liabilities

Cited in

(14)

• Asymptotic analysis for one-name credit derivatives
• Linear credit risk models
• Valuation of credit derivatives with multiple time scales in the intensity model
• Multiscale analysis on the pricing of intensity-based defaultable bonds
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• A unified framework for pricing credit and equity derivatives
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
• Multiname and multiscale default modeling
• A generalized intensity-based framework for single-name credit risk
• Optimal trading with signals and stochastic price impact
• Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
• Utility valuation of credit derivatives: single and two-name cases
• Multi-scale time-changed birth processes for pricing multi-name credit derivatives
• Explicit multiscale numerical method for super-linear slow-fast stochastic differential equations

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