Valuation of credit derivatives with multiple time scales in the intensity model
Summary: We propose approximate solutions for pricing zero-coupon defaultable bonds, credit default swap rates, and bond options based on the averaging principle of stochastic differential equations. We consider the intensity-based defaultable bond, where the volatility of the default intensity is driven by multiple time scales. Small corrections are computed using regular and singular perturbations to the intensity of default. The effectiveness of these corrections is tested on the bond price and yield curve by investigating the behavior of the time scales with respect to the relevant parameters.
- Multiscale analysis on the pricing of intensity-based defaultable bonds
- Multiscale Intensity Models for Single Name Credit Derivatives
- Asymptotic analysis for one-name credit derivatives
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Pricing credit default swaps under a multi-scale stochastic volatility model
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
- Multiscale Intensity Models for Single Name Credit Derivatives
- Multiscale Stochastic Volatility Asymptotics
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- On Cox processes and credit risky securities
- Pricing interest-rate-derivative securities
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
- Pricing the credit default swap rate for jump diffusion default intensity processes
- Singular Perturbations in Option Pricing
- Stochastic differential equations. An introduction with applications.
- Stochastic Volatility Effects on Defaultable Bonds
- Term structure modelling of defaultable bonds
- Asymptotic analysis for one-name credit derivatives
- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
- Multiscale analysis on the pricing of intensity-based defaultable bonds
- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
- Multiscale Intensity Models for Single Name Credit Derivatives
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
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