The dependence of assets and default threshold with thinning-dependence structure

DOI10.3934/JIMO.2012.8.391MaRDI QIDQ2358872zbMATH OpenOpenAlexFDO

Authors Yinghui Dong, Guojing Wang

Publication date 16 June 2017

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2012.8.391

zbMATH Keywords

default probabilitydefault timedefaultable bonddependent jump-diffusion processes

Mathematics Subject Classification ID

Laplace transform (44A10) Markov semigroups and applications to diffusion processes (47D07) Optimality conditions for problems involving ordinary differential equations (49K15)

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Cites work

• A jump-diffusion model for option pricing
• A Structural Model with Unobserved Default Boundary
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• Credit risk: Modelling, valuation and hedging
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• First passage times of a jump diffusion process
• scientific article; zbMATH DE number 1093829 (Why is no real title available?)
• Maximum likelihood estimation of the double exponential jump-diffusion process
• On a correlated aggregate claims model with thinning-dependence structure
• On first passage times of a hyper-exponential jump diffusion process
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the Time Value of Ruin
• Optimal capital structure and endogenous default
• Pricing the risks of default
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The perturbed compound Poisson risk model with two-sided jumps
• The pricing of options and corporate liabilities

Cited in

(3)

• A reduced model with thinning-dependence structure
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes

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