Linear credit risk models
In this extensive paper, the authors present a new linear credit risk model. This approach has the flexibility to deal with the multi-named model associated with negatively correlated default intensities. Within this environment, a single-name model is defined, referred to as the linear hypercube (LHC). A comparison of this is made with the one-factor affine default intensity model. A useful review of the current literature is given. An approximation approach for the pricing of European-styled options on underlying assets that are exposed credit risk is described. This is aided by an application of the Stone-Weierstrass theorem. Interestingly, from this, the price of a CDS option may be approximated by polynomials appearing in the factors. The method may also be used to incorporate CVA in the pricing. The paper continues with an empirical analysis of the LHC model focusing on the efficiency of the approximation techniques.
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- Additive subordination and its applications in finance
- An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
- An interest rate model with upper and lower bounds
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Chebyshev interpolation for parametric option pricing
- Computing the action of the matrix exponential, with an application to exponential integrators
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- Credit Risk Modeling
- Credit risk: Modelling, valuation and hedging
- Density approximations for multivariate affine jump-diffusion processes
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- Expokit
- Functions of Matrices
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- Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
- Multivariate Jacobi process with application to smooth transitions
- Multivariate subordination of Markov processes with financial applications
- On Cox processes and credit risky securities
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- Polynomial diffusions and applications in finance
- Polynomial jump-diffusion models
- Pricing and trading credit default swaps in a hazard process model
- Sato processes in default modelling
- Term-structure models. A graduate course
- The Jacobi stochastic volatility model
- Valuation of credit default swaps and swaptions
- Asymptotic analysis for one-name credit derivatives
- Infinite-dimensional polynomial processes
- Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball
- Analytical methods for hedging systematic credit risk with linear factor portfolios
- Smile modeling in commodity markets
- Multiscale Intensity Models for Single Name Credit Derivatives
- Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
- A mathematical model for multi-name credit based on community flocking
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- Correlators of polynomial processes
- Polynomial jump-diffusion models
- A multifactor polynomial framework for long-term electricity forwards with delivery period
- Non-linear Gaussian sovereign CDS pricing models
- On the relation between linearity-generating processes and linear-rational models
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- Multi-scale time-changed birth processes for pricing multi-name credit derivatives
- Linear stochastic dividend model
- Proxying credit curves via Wasserstein distances
- Measure-valued affine and polynomial diffusions
- Dynamic credit models
- Joint mortality models based on subordinated linear hypercubes
- Parameter estimation for partially observed affine and polynomial processes
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