A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives

DOI10.1016/J.SPL.2012.10.003zbMath1282.91339OpenAlexW2070863925MaRDI QIDQ1933756

Xue Liang, Yinghui Dong, Guo-jing Wang

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.10.003

zbMATH Keywords

regime switchingjump-diffusion modelthinning-dependence structureportfolio credit derivativesjoint conditional survival probability

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes

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