On the default probability in a regime-switching regulated market

DOI10.1007/S11009-012-9301-ZzbMATH Open1291.91169OpenAlexW2095506561MaRDI QIDQ2445481FDOQ2445481

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

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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)

Cites Work

• The conditional probability density function for a reflected Brownian motion
• Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
• Title not available (Why is that?)
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• Regime switching in foreign exchange rates: Evidence from currency option prices
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• On the conditional default probability in a regulated market: a structural approach
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Option Pricing With Markov-Modulated Dynamics
• Diffusion approximation for open state-dependent queueing networks in the heavy traffic situation
• When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process
• The hitting time density for a reflected Brownian motion
• Credit risk models with incomplete information

Cited In (13)

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

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