A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS

DOI10.1142/S0219024909005142zbMath1182.91182MaRDI QIDQ3632193

L. C. G. Rogers, Guiseppe di Graziano

Publication date: 23 June 2009

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

Full work available at URL: https://doi.org/10.1142/s0219024909005142

zbMATH Keywords

copula; correlation; Laplace transform; Markov chain; credit derivatives; default risk; CDO

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

44A10: Laplace transform

Related Items

Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions, The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier, Parameter Estimation in Credit Models Under Incomplete Information, An extension of Davis and Lo's contagion model, A reduced-form model for correlated defaults with regime-switching shot noise intensities, Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering, Linear credit risk models, Pricing credit derivatives under a correlated regime-switching hazard processes model, A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk, CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS, Sato Processes in Default Modelling

Cites Work

• Pricing double barrier options using Laplace transforms
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Credit risk: Modelling, valuation and hedging
• Unnamed Item