The pricing of credit risky securities under stochastic interest rate model with default correlation.
From MaRDI portal
Publication:2249860
DOI10.1007/s10492-013-0036-0zbMath1299.91162MaRDI QIDQ2249860
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
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