On Cox processes and credit risky securities

DOI10.1007/BF01531332zbMATH Open1274.91459WikidataQ56567893 ScholiaQ56567893MaRDI QIDQ375362FDOQ375362

Authors: David Lando 

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

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zbMATH Keywords

credit riskCox processcredit derivativesratings

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
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• Probability with Martingales
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• Doubly stochastic Poisson processes
• Pricing the risks of default
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Default risk and derivative products

Cited In (only showing first 100 items - show all)

• Hazard processes and martingale hazard processes
• Multiple ratings model of defaultable term structure.
• Stochastic intensity modeling for structured credit exotics
• A set-valued Markov chain approach to credit default
• Pricing CDO tranches in an intensity based model with the mean reversion approach
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
• Closed-form solutions for pricing credit-risky bonds and bond options
• A micro-level claim count model with overdispersion and reporting delays
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• A Markov copula model with regime switching and its application
• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
• Recovering portfolio default intensities implied by CDO quotes
• Affine processes for dynamic mortality and actuarial valuations
• Affine stochastic mortality
• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
• Pricing bonds and CDS in the model with rating migration induced by a Cox process
• Delta-gamma hedging of mortality and interest rate risk
• Default and information
• Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
• Consistent dynamic affine mortality models for longevity risk applications
• Asymptotic traveling wave solution for a credit rating migration problem
• Pricing default events: surprise, exogeneity and contagion
• Modelling stochastic mortality for dependent lives
• How to invest optimally in corporate bonds: a reduced-form approach
• Affine processes and applications in finance
• Cure events in default prediction
• An intensity-based approach for equity modeling
• What happens after a default: the conditional density approach
• Closed-form solutions for guaranteed minimum accumulation and death benefits
• On absolutely continuous compensators and nonlinear filtering equations in default risk models
• A Markov modulated dynamic contagion process with application to credit risk
• Default barrier intensity model for credit risk evaluation
• Computing survival probabilities based on stochastic differential models
• A dynamic contagion process
• Singular risk-neutral valuation equations
• Discrete credit barrier models
• On the robustness of longevity risk pricing
• On a reduced form credit risk model with common shock and regime switching
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
• Mathematical analysis of a credit default swap with counterparty risks
• Background filtrations and canonical loss processes for top-down models of portfolio credit risk
• Credit contagion and aggregate losses
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
• On the stochastic behaviour of optional processes up to random times
• Bilateral counterparty risk valuation on a CDS with a common shock model
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Supplier default dependencies: empirical evidence from the automotive industry
• A free boundary problem for corporate bond with credit rating migration
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• Progressive enlargement of filtrations with initial times
• Modeling credit risk with partial information.
• Pricing catastrophe options with counterparty credit risk in a reduced form model
• A mixed PDE-Monte Carlo approach for pricing credit default index swaptions
• Exponential moments of affine processes
• Pricing options with credit risk in Markovian regime-switching markets
• Indifference pricing of credit default swaps in a multi-period model
• Density approximations for multivariate affine jump-diffusion processes
• A discrete-time approach to arbitrage-free pricing of credit derivatives
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Limiting dependence structures for tail events, with applications to credit derivatives
• Tracking bond indices in an integrated market and credit risk environment
• An integrated model for hybrid securities
• Title not available (Why is that?)
• Quadratic stochastic intensity and prospective mortality tables
• Transform analysis for point processes and applications in credit risk
• BSDEs driven by time-changed Lévy noises and optimal control
• A Cox process with log-normal intensity.
• A bootstrap test for the comparison of nonlinear time series
• Longevity-linked assets and pre-retirement consumption/portfolio decisions
• Valuing risky debt: a new model combining structural information with the reduced-form approach
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• Valuing credit derivatives in a jump-diffusion model
• No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
• Optimal investment in a defaultable bond
• A continuous-time stochastic model for the mortality surface of multiple populations
• REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS
• Number of paths versus number of basis functions in American option pricing
• On the term structure of lending interest rates when a fraction of collateral is recovered upon default
• Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
• Total return swap valuation with counterparty risk and interest rate risk
• The dynamic spread of the forward CDS with general random loss
• A new default probability calculation formula and its application under uncertain environments
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• On time-inconsistent stopping problems and mixed strategy stopping times
• Fuzzy semi-Markov migration process in credit risk
• Restructuring risk in credit default swaps: an empirical analysis
• Random distribution kernels and three types of defaultable contingent payoffs
• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
• The pricing of credit risky securities under stochastic interest rate model with default correlation.
• A generalized intensity-based framework for single-name credit risk
• Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
• Asymptotic analysis for one-name credit derivatives
• Event risk, contingent claims and the temporal resolution of uncertainty
• Analytical valuation of vulnerable options in a discrete-time framework
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Analytical valuation of vulnerable European and Asian options in intensity-based models

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