A fractional credit model with long range dependent default rate

DOI10.1016/J.SPA.2012.12.006zbMATH Open1268.91166OpenAlexW2003567553MaRDI QIDQ1939342FDOQ1939342

Authors: Francesca Biagini, Holger Fink, Claudia Klüppelberg 

Publication date: 4 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.12.006

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zbMATH Keywords

predictionlong-range dependenceoption pricingfractional Brownian motionWick productcredit riskhazard ratederivatives pricinginterest ratedefaultable bondfractional Vasicek modelshort ratedefault ratemacroeconomic variables process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Stochastic integral equations (60H20)

Cited In (10)

• Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models
• COVID-19 and credit risk: a long memory perspective
• Bond portfolio optimization with long-range dependent credits
• Implied fractional hazard rates and default risk distributions
• Affine representations of fractional processes with applications in mathematical finance
• Conditional distributions of processes related to fractional Brownian motion

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