The intensity model for pricing credit securities with jump diffusion and counterparty risk
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Publication:541467
DOI10.1155/2011/412565zbMath1213.91171WikidataQ58693023 ScholiaQ58693023MaRDI QIDQ541467
Publication date: 7 June 2011
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/233667
91G80: Financial applications of other theories
Related Items
Total return swap valuation with counterparty risk and interest rate risk, The pricing of total return swap under default contagion models with jump-diffusion interest rate risk, The pricing of credit risky securities under stochastic interest rate model with default correlation.
Cites Work
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
- The survival probability of mortality intensity with jump-diffusion
- First passage time for multivariate jump-diffusion processes in finance and other areas of applications
- First passage times of a jump diffusion process
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS