Pricing bonds and CDS in the model with rating migration induced by a Cox process

zbMATH Open1256.91058MaRDI QIDQ3534752FDOQ3534752

Jacek Jakubowski, Mariusz Niewęgłowski

Publication date: 4 November 2008

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zbMATH Keywords

credit riskcredit default swapCox processesdefaultable bondsrating migrationconditional Markov chains

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Renewal theory (60K05)

Cited In (5)

• ANALYTIC PRICING OF CoCo BONDS
• Derivation of a price process for multitype multiple defaultable bonds
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
• Conditional Markov chains: properties, construction and structured dependence

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