On the conditional default probability in a regulated market with jump risk
From MaRDI portal
Publication:5400666
DOI10.1080/14697688.2013.815795zbMath1282.91352OpenAlexW3123649261MaRDI QIDQ5400666
Xindan Li, Xuewei Yang, Li Jun Bo, Yong Jin Wang
Publication date: 4 March 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.815795
credit spreaddefaultable bondregulated marketconditional default probabilityregulated jump-diffusions
Related Items (9)
Default probability estimation via pair copula constructions ⋮ On the probability of default in a market with price clustering and jump risk ⋮ The hitting time density for a reflected Brownian motion ⋮ Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling ⋮ Optimal processing rate and buffer size of a jump-diffusion processing system ⋮ On pricing barrier control in a regime-switching regulated market ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Optimal pricing barriers in a regulated market using reflected diffusion processes ⋮ Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models
Cites Work
- A Jump-Diffusion Model for Option Pricing
- On the first passage times of reflected O-U processes with two-sided barriers
- The Fourier-series method for inverting transforms of probability distributions
- A diffusion approximation for a Markovian queue with reneging
- Curve crossing for random walks reflected at their maximum
- A Theory of the Term Structure of Interest Rates
- On the conditional default probability in a regulated market: a structural approach
- Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
- Some integral functionals of reflected SDEs and their applications in finance
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES
- First passage times of a jump diffusion process
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- A Jump‐diffusion Model for Exchange Rates in a Target Zone
- On the transition densities for reflected diffusions
- Credit risk: Modelling, valuation and hedging
- Unnamed Item
This page was built for publication: On the conditional default probability in a regulated market with jump risk