Asymptotic analysis for one-name credit derivatives

DOI10.1155/2013/567340zbMATH Open1291.91207OpenAlexW2101832222WikidataQ58917136 ScholiaQ58917136MaRDI QIDQ2015749FDOQ2015749

Authors: Yong-Ki Ma, Beom Jin Kim 

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/567340

Recommendations

• Multiscale Intensity Models for Single Name Credit Derivatives
• Valuation of credit derivatives with multiple time scales in the intensity model
• Credit derivatives pricing with stochastic volatility models
• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
• Linear credit risk models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Pricing interest-rate-derivative securities
• Stochastic differential equations. An introduction with applications.
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Multiscale Stochastic Volatility Asymptotics
• On Cox processes and credit risky securities
• Credit risk: Modelling, valuation and hedging
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Pricing the risks of default
• Term structure modelling of defaultable bonds
• Optimal capital structure and endogenous default
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Pricing the credit default swap rate for jump diffusion default intensity processes
• A unified framework for pricing credit and equity derivatives
• Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
• Multiscale Intensity Models for Single Name Credit Derivatives

Cited In (4)

• Multiscale Intensity Models for Single Name Credit Derivatives
• Valuation of credit derivatives with multiple time scales in the intensity model
• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
• Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis

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