Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion

DOI10.1007/s11424-018-7119-7zbMath1411.91585OpenAlexW2909101370MaRDI QIDQ1738521

Weixing Wu, Qing Zhou, Qian Wang

Publication date: 18 April 2019

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-018-7119-7

zbMATH Keywords

fractional Brownian motionVasicek modeldefaultable bondcounterparty riskrecovery rate

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• On Cox processes and credit risky securities
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• The pricing of vulnerable options in a fractional Brownian motion environment
• Fractional {O}rnstein-{U}hlenbeck processes
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Cross-correlations between volume change and price change
• Stochastic Volatility Effects on Defaultable Bonds
• Bond markets with stochastic volatility
• Introduction to Econophysics
• Stochastic Calculus for Fractional Brownian Motion and Applications
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• A General Formula for Valuing Defaultable Securities

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