Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives

DOI10.1080/13504860902765545zbMath1178.91066MaRDI QIDQ3652704

Evan Papageorgiou, Ronnie Sircar

Publication date: 16 December 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860902765545

zbMATH Keywords

stochastic volatility; asymptotic approximation; multiple time scales; top-down; collateralized debt obligations; intensity-based model; bottom-up; homogeneous-group factor models

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

Related Items

GRAPHICAL MODELS FOR CORRELATED DEFAULTS, Utility valuation of multi-name credit derivatives and application to CDOs, Pricing basket default swaps in a tractable shot noise model, Multiscale analysis on the pricing of intensity-based defaultable bonds, Asymptotic expansion formula of option price under multifactor Heston model

Uses Software

• CreditRisk+

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Two singular diffusion problems
• Multiscale Intensity Models for Single Name Credit Derivatives
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• On the Fast Fourier Transform Inversion of Probability Generating Functions
• Singular Perturbations in Option Pricing
• Stochastic Volatility Corrections for Interest Rate Derivatives
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