Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations

DOI10.1007/S10690-013-9169-0MaRDI QIDQ2254285zbMATH OpenOpenAlexFDO

Authors Masakazu Miura, Kenichiro Tamaki, Takayuki Shiohama

Publication date 4 February 2015

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-013-9169-0

zbMATH Keywords

credit riskEdgeworth expansionshort ratesterm structureVasicek model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• A discrete-time approach to arbitrage-free pricing of credit derivatives
• An equilibrium characterization of the term structure
• Asymptotic theory for a vector ARMA-GARCH model
• Asymptotic theory of statistical inference for time series
• Higher order asymptotic option valuation for non-Gaussian dependent returns
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Multivariate T-Distributions and Their Applications
• On Cox processes and credit risky securities
• Pricing contingent claims with credit risk: asymptotic expansion approach
• The asymptotic expansion approach to the valuation of interest rate contingent claims

Cited in

(1)

• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

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