Time-changed birth processes and multiname credit derivatives

DOI10.1287/OPRE.1080.0652MaRDI QIDQ3100403zbMATH OpenOpenAlexFDO

Authors Xiaowei Ding, Kay Giesecke, Pascal Tomecek

Publication date 24 November 2011

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/07b627140a6ae9a37e4b76944be87b6f4cfc79e6

zbMATH Keywords

risk managementhedgingasset pricingtime changebirth processportfolio credit derivativesself-exciting point processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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• Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates
• A reduced-form model for correlated defaults with regime-switching shot noise intensities
• Multi-scale time-changed birth processes for pricing multi-name credit derivatives
• Portfolio credit risk with predetermined default orders
• Expectations of functions of stochastic time with application to credit risk modeling
• Integro-differential equations linked to compound birth processes with infinitely divisible addends
• Credit risk modeling using time-changed Brownian motion
• Credit risk model with contagious default dependencies affected by macro-economic condition
• Pricing credit derivatives under a correlated regime-switching hazard processes model
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• Fifty years at the interface between financial modeling and operations research
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Risk premia and optimal liquidation of credit derivatives
• Transform analysis for point processes and applications in credit risk

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