Jump-diffusion CIR model and its applications in credit risk

DOI10.15672/HJMS.201447455MaRDI QIDQ5263368zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(13)

• 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
• Valuing credit default swap under a double exponential jump diffusion model
• Exponential ergodicity of the jump-diffusion CIR process
• The research of the short term price of a credit default swap in a jump diffusion model with two-sided exponentially distributed jump
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
• The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching
• 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
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance

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