The pricing of credit risky securities under stochastic interest rate model with default correlation.

DOI10.1007/s10492-013-0036-0zbMath1299.91162OpenAlexW2074713558MaRDI QIDQ2249860

Anjiao Wang, Zhong-Xing Ye

Publication date: 3 July 2014

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/143507

zbMATH Keywords

credit default swapscorrelated default ratescredit risk pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

Total return swap valuation with counterparty risk and interest rate risk, The pricing of total return swap under default contagion models with jump-diffusion interest rate risk

Cites Work

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• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
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