Interest rate swap pricing with default risk under variance gamma process

DOI10.1007/s11766-017-3290-1zbMath1389.91120OpenAlexW2592398191MaRDI QIDQ2408891

Jinping Yu, Xiao-Feng Yang

Publication date: 20 October 2017

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-017-3290-1

zbMATH Keywords

default riskstructural modelvariance gamma processreduced form modelinterest rate swap

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Convertible bond pricing with partial integro-differential equation model

Cites Work

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• Pricing of swaps with default risk
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• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Option Pricing With V. G. Martingale Components¹
• The Variance Gamma Process and Option Pricing
• An equilibrium characterization of the term structure

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