On the default probability in a regime-switching regulated market

DOI10.1007/S11009-012-9301-ZMaRDI QIDQ2445481zbMATH OpenOpenAlexFDO

Authors Xuewei Yang, Lijun Bo, Yongjin Wang

Publication date 14 April 2014

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-012-9301-z

zbMATH Keywords

first passage timedefault probabilityreflected stochastic differential equationinteracting stochastic differential equationsLaplace transform formulasregime-switching regulated market

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Laplace transform (44A10) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
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• Diffusion approximation for open state-dependent queueing networks in the heavy traffic situation
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• Option pricing for pure jump processes with Markov switching compensators
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Regime switching in foreign exchange rates: Evidence from currency option prices
• The conditional probability density function for a reflected Brownian motion
• The hitting time density for a reflected Brownian motion
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process

Cited in

(13)

• Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
• Basket CDS pricing with default intensities using a regime-switching shot-noise model
• A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
• First-passage times of regime switching models
• Optimal pricing barriers in a regulated market using reflected diffusion processes
• On the conditional default probability in a regulated market with jump risk
• A Markov modulated dynamic contagion process with application to credit risk
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
• On pricing barrier control in a regime-switching regulated market
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Default Times in a Continuous-Time Markovian Regime Switching Model
• Reliability for discrete state systems with cyclic missions periods
• A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes

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