Pricing defaultable bonds in a Markov modulated market
DOI10.1080/07362994.2012.668442zbMATH Open1248.91039OpenAlexW2019397462MaRDI QIDQ2893288FDOQ2893288
Authors: Tamal Banerjee, Mrinal K. Ghosh, Srikanth K. Iyer 
Publication date: 20 June 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2012.668442
Recommendations
- Pricing credit derivatives in a Markov-modulated reduced-form model
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
- Term structure modelling of defaultable bonds
- scientific article; zbMATH DE number 2133129
Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Filtering a Markov Modulated Random Measure
- Option hedging for semimartingales
- Implementing models in quantitative finance: methods and cases
- Credit risk: Modelling, valuation and hedging
- Robust optimal portfolio choice under Markovian regime-switching model
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- A Method for the Spatial Discretization of Parabolic Equations in One Space Variable
- Title not available (Why is that?)
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Title not available (Why is that?)
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- Risk Minimizing Option Pricing in a Regime Switching Market
- Mean-variance hedging for continuous processes: New proofs and examples
- Portfolio risk minimization and differential games
- Esscher transforms and consumption-based models
Cited In (12)
- A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
- The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
- Bond pricing formulas for Markov-modulated affine term structure models
- Market implied volatilities for defaultable bonds
- Title not available (Why is that?)
- A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
- Pricing of discount bonds with a Markov switching regime
- A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
- A defaultable bond model with cyclical fluctuations in the spread process
- Bond markets with stochastic volatility
- Title not available (Why is that?)
- Towards a general theory of bond markets
This page was built for publication: Pricing defaultable bonds in a Markov modulated market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2893288)
