Pricing credit derivatives under a correlated regime-switching hazard processes model
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Publication:2397578
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Cites work
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Affine processes and applications in finance
- Default Times in a Continuous-Time Markovian Regime Switching Model
- Longevity bond pricing under stochastic interest rate and mortality with regime-switching
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Time-changed birth processes and multiname credit derivatives
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
- Valuation and hedging of CDS counterparty exposure in a Markov copula model
Cited in
(22)- Basket credit derivative pricing in a Markov chain model with interacting intensities
- Pricing credit derivatives in a Markov-modulated reduced-form model
- Counterparty risk valuation of k th-to-default credit-linked notes with contagion risk
- Pricing and hedging contingent claims with regime switching risk
- Pricing and trading credit default swaps in a hazard process model
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- Valuation of basket credit default swaps under stochastic default intensity models
- Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- A Monte-Carlo based approach for pricing credit default swaps with regime switching
- Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model
- Basket CDS pricing with default intensities using a regime-switching shot-noise model
- A reflection principle for correlated defaults
- Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
- The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
- Price discovery in the markets for credit risk: a Markov switching approach
- Pricing basket default swaps in a tractable shot noise model
- Valuation of a credit swap of the basket type
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
- An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
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