Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads

DOI10.1007/S10690-010-9134-0MaRDI QIDQ763417zbMATH OpenOpenAlexFDO

Authors Yoshifumi Muroi, E. Kazuhiro Takino

Publication date 9 March 2012

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-010-9134-0

zbMATH Keywords

credit riskdefaultable bondscredit default swpascredit migration modeloptions on defaultable bonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A general computation scheme for a high-order asymptotic expansion method
• An asymptotic expansion approach to pricing financial contingent claims
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• On Cox processes and credit risky securities
• On validity of the asymptotic expansion approach in contingent claim analysis
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Pricing contingent claims with credit risk: asymptotic expansion approach
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(9)

• Pricing contingent claims with credit risk: asymptotic expansion approach
• Credit derivatives pricing with stochastic volatility models
• On pricing of credit spread options
• Jump diffusion in credit barrier modeling: a partial integro-differential equation approach
• Asymptotic analysis for one-name credit derivatives
• ANALYTIC PRICING OF CoCo BONDS
• A simple model for credit migration and spread curves
• scientific article; zbMATH DE number 1724300 (Why is no real title available?)
• Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk

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