Multiscale analysis on the pricing of intensity-based defaultable bonds
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Cites work
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- scientific article; zbMATH DE number 2086864 (Why is no real title available?)
- A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Default risk in interest rate derivatives with stochastic volatility
- Multiscale Intensity Models for Single Name Credit Derivatives
- Multiscale Stochastic Volatility Asymptotics
- Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- On Cox processes and credit risky securities
- Pricing the credit default swap rate for jump diffusion default intensity processes
- Term structure modelling of defaultable bonds
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model
Cited in
(5)- scientific article; zbMATH DE number 1867087 (Why is no real title available?)
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
- scientific article; zbMATH DE number 2020182 (Why is no real title available?)
- Valuation of credit derivatives with multiple time scales in the intensity model
- Stochastic Volatility Effects on Defaultable Bonds
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