PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL

DOI10.1142/S0219024913500180zbMath1271.91100OpenAlexW2082225832MaRDI QIDQ2842530

Mrinal K. Ghosh, Srikanth K. Iyer, Tamal Banerjee

Publication date: 15 August 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500180

zbMATH Keywords

Markov switchingcredit spreadCDOHawkes processaffine point processes

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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