Jump-diffusion CIR model and its applications in credit risk

DOI10.15672/HJMS.201447455zbMATH Open1367.91184OpenAlexW2328015496MaRDI QIDQ5263368FDOQ5263368

Authors: Yongfeng Wu 

Publication date: 16 July 2015

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15672/hjms.201447455

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zbMATH Keywords

Laplace transformcredit default swapdefaultable zero-coupon bondjump-diffusion CIR modelreduced form model of credit risk

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (9)

• Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Pricing airbag option via first passage time approach
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
• The research of the short term price of a credit default swap in a jump diffusion model with two-sided exponentially distributed jump
• The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• Jump diffusion processes and their applications in insurance and finance

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