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

DOI10.1007/s10492-013-0036-0zbMath1299.91162MaRDI 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 swaps; correlated default rates; credit risk pricing

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

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

• On Cox processes and credit risky securities
• Pricing the risks of default
• The intensity model for pricing credit securities with jump diffusion and counterparty risk
• Credit risky securities valuation under a contagion model with interacting intensities
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
• Basket CDS pricing with interacting intensities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• The survival probability of mortality intensity with jump-diffusion
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Term Structures of Credit Spreads with Incomplete Accounting Information
• A General Formula for Valuing Defaultable Securities