On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
DOI10.1214/22-ECP458zbMATH Open1484.91466OpenAlexW4225746186MaRDI QIDQ2113272FDOQ2113272
Authors: Fabio Antonelli, Sergio Scarlatti, Alessandro Ramponi 
Publication date: 11 March 2022
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/22-ecp458
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credit riskanalytical functionsdefaultable bond pricinghazard processnon-affine modelschange of numéraire
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- On the Heston model with stochastic interest rates
- On Cox processes and credit risky securities
- Term Structures of Credit Spreads with Incomplete Accounting Information
- A comparison of biased simulation schemes for stochastic volatility models
- Pricing the risks of default
- Title not available (Why is that?)
- PDE approach to valuation and hedging of credit derivatives
- Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
- Exchange option pricing under stochastic volatility: a correlation expansion
- Pricing options under stochastic volatility: a power series approach
- Modeling credit risk with partial information.
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
- On expansions for the Black-Scholes prices and hedge parameters
- Analysis of nonlinear valuation equations under credit and funding effects
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- Market implied volatilities for defaultable bonds
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