Pricing credit derivatives under a correlated regime-switching hazard processes model
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Publication:2397578
DOI10.3934/JIMO.2016079zbMath1361.91060OpenAlexW2531613812MaRDI QIDQ2397578
Yinghui Dong, Kam-Chuen Yuen, Guo-jing Wang
Publication date: 22 May 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.2016079
Markov chainhazard process\(k\)th-to-default basket swapmultivariate regime-switching shot noise process
Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Credit risk (91G40)
Related Items (4)
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 ⋮ Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model ⋮ Basket credit derivative pricing in a Markov chain model with interacting intensities
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