Basket credit derivative pricing in a Markov chain model with interacting intensities

DOI10.1155/2020/5369879zbMath1459.91208OpenAlexW3092801241MaRDI QIDQ2209220

Jie Guo, Kangquan Zhi, Xiao-Song Qian

Publication date: 28 October 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/5369879

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Pricing basket default swaps in a tractable shot noise model
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Basket CDS pricing with interacting intensities
• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
• Pricing credit derivatives under a correlated regime-switching hazard processes model
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Basket CDS pricing with default intensities using a regime-switching shot-noise model
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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