Default times in a continuous time Markov chain economy

DOI10.1080/1350486X.2012.755825MaRDI QIDQ4584997zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, John van der Hoek

Publication date 5 September 2018

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

Full work available at URL https://doi.org/10.1080/1350486x.2012.755825

zbMATH Keywords

continuous timecredit riskdefault timeMarkov chainstochastic discount function

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Microeconomic theory (price theory and economic markets) (91B24) Credit risk (91G40) Actuarial science and mathematical finance (91G99)

Recommendations

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• The Markov Chain Market
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• Nonexistence of Markovian time dynamics for graphical models of correlated default

Cites work

• American option prices in a Markov chain market model
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Credit risk: Modelling, valuation and hedging
• Functional Integration and Partial Differential Equations. (AM-109)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling

Cited in

(7)

• Markov chain model with catastrophe to determine mean time to default of credit risky assets
• Random distribution kernels and three types of defaultable contingent payoffs
• Imprecise continuous-time Markov chains
• Default Times in a Continuous-Time Markovian Regime Switching Model
• Nonexistence of Markovian time dynamics for graphical models of correlated default
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• A fast algorithm for numerical solutions to Fortet's equation

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