Pricing credit derivatives under fractional stochastic interest rate models with jumps

DOI10.1007/S11424-017-5126-8zbMATH Open1369.91189OpenAlexW2602875214MaRDI QIDQ2398847FDOQ2398847

Authors: Jiaojiao Zhang, Xiuchun Bi, Rong Li, Shuguang Zhang 

Publication date: 21 August 2017

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-5126-8

Recommendations

• Pricing CDS under fractional Vasicek interest rate model
• The pricing of credit risky securities under stochastic interest rate model with default correlation.
• Credit derivatives pricing with stochastic volatility models
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion

zbMATH Keywords

fractional Brownian motionCDSreduced-form approachprimary-secondary framework

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Fractional Brownian Motions, Fractional Noises and Applications
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Title not available (Why is that?)
• Fractional Brownian motion, random walks and binary market models
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The surprise element: Jumps in interest rates.
• Interest rate modelling.
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Self-similar processes in communications networks
• Time-varying long-range dependence in US interest rates
• The survival probability of mortality intensity with jump-diffusion
• Long memory story of the real interest rate
• Estimating dynamic geometric fractional Brownian motion and its application to long-memory option pricing
• Pricing formulae for European options under the fractional Vasicek interest rate model
• Optimal filtering of linear system driven by fractional Brownian motion

Cited In (11)

• New model for pricing quanto credit default swaps
• Pricing CDS under fractional Vasicek interest rate model
• CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
• The pricing of credit risky securities under stochastic interest rate model with default correlation.
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Implied fractional hazard rates and default risk distributions
• A pricing model for secondary market yield based floating rate notes subject to default risk.
• Indifference pricing of credit default swaps in a multi-period model
• Meshless approach for pricing Islamic Ijarah under stochastic interest rate models

This page was built for publication: Pricing credit derivatives under fractional stochastic interest rate models with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2398847)