A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes

DOI10.1007/s11464-017-0638-zzbMath1406.91473OpenAlexW2735089194MaRDI QIDQ1787114

Jie Guo, Guo-jing Wang

Publication date: 4 October 2018

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-017-0638-z

zbMATH Keywords

contagionVasicek modelregime-switchingdefault intensitycredit default swap (CDS)

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Laplace transform (44A10) Optimality conditions for problems involving ordinary differential equations (49K15) Credit risk (91G40)

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