A fractional credit model with long range dependent default rate

DOI10.1016/j.spa.2012.12.006zbMath1268.91166OpenAlexW2003567553MaRDI QIDQ1939342

Francesca Biagini, Holger Fink, Claudia Klüppelberg

Publication date: 4 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.12.006

zbMATH Keywords

predictionfractional Brownian motionoption pricingWick productlong-range dependencecredit riskinterest ratederivatives pricinghazard rateshort ratedefaultable bondfractional Vasicek modeldefault ratemacroeconomic variables process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20)

Related Items (7)

The closed-form option pricing formulas under the sub-fractional Poisson volatility models ⋮ COVID-19 and credit risk: a long memory perspective ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Bond portfolio optimization with long-range dependent credits ⋮ Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk ⋮ Conditional Distributions of Processes Related to Fractional Brownian Motion ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

This page was built for publication: A fractional credit model with long range dependent default rate