Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
DOI10.1016/J.EJOR.2010.03.006zbMATH Open1206.91078OpenAlexW3122388441MaRDI QIDQ621671FDOQ621671
Authors: Carl Chiarella, Viviana Fanelli, Silvana Musti 
Publication date: 28 January 2011
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp255.pdf
Recommendations
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Arbitrage Theory in Continuous Time
- On Cox processes and credit risky securities
- Term Structures of Credit Spreads with Incomplete Accounting Information
- A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
- Valuation of credit default swaps and swaptions
- Term structure modelling of defaultable bonds
- Title not available (Why is that?)
- A discrete-time approach to arbitrage-free pricing of credit derivatives
Cited In (11)
- Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
- Pricing and risk management of interest rate swaps
- Credit derivatives pricing with stochastic volatility models
- Modeling the forward CDS spreads with jumps
- A cyclical square-root model for the term structure of interest rates
- Evaluating corporate bonds with complicated liability structures and bond provisions
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market
- Implications of implicit credit spread volatilities on interest rate modelling
- On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm
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