Pricing credit derivatives under fractional stochastic interest rate models with jumps

DOI10.1007/S11424-017-5126-8MaRDI QIDQ2398847zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fractional Brownian motionCDSreduced-form approachprimary-secondary framework

Mathematics Subject Classification ID

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

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• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
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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

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