Pricing credit default swaps under a multi-scale stochastic volatility model
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Publication:1620315
DOI10.1016/J.PHYSA.2016.10.082zbMath1400.91584OpenAlexW2548433327MaRDI QIDQ1620315
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=7394&context=eispapers
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (7)
Basket credit default swap pricing with two defaultable counterparties ⋮ Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ Pricing credit default swaps with Parisian and Parasian default mechanics ⋮ Credit default swap pricing with counterparty risk in a reduced form model with a common jump process ⋮ Introducing fuzziness in CDS pricing under a structural model ⋮ AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING ⋮ A Monte-Carlo based approach for pricing credit default swaps with regime switching
Cites Work
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- Pricing perpetual American puts under multi-scale stochastic volatility
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
- A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
- Multiscale Stochastic Volatility Asymptotics
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