Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
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Publication:2642592
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Cites work
- A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
- Discrete-Time Semi-Markov Model for Reliability and Survival Analysis
- Homogeneous semi-Markov reliability models for credit risk management
- Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models
- Reward model solution methods with impulse and rate rewards: an algorithm and numerical results
Cited in
(20)- Semi-Markov reliability models with recurrence times and credit rating applications
- Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models
- Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk
- Stability analysis and stabilization of discrete-time non-homogeneous semi-Markov jump linear systems: a polytopic approach
- Fuzzy semi-Markov migration process in credit risk
- Semi-Markov migration process in a stochastic market in credit risk
- A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
- Pricing of credit default swap based on credit rating
- A semi-martingale representation for a semi-Markov chain with application to finance
- Strong law of large numbers and central limit theorems for functionals of inhomogeneous semi-Markov processes
- Bivariate semi-Markov reward chain and credit spreads
- Bivariate semi-Markov process for counterparty credit risk
- Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering
- Enhancing credit default swap valuation with meshfree methods
- Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
- How do investor preferences on ESG score influence portfolio management? A Markov model for simulating risk-return expectations
- Markov-modulated ESG rating dynamics under exogenous environmental regimes
- Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
- Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
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