Asymptotic analysis for one-name credit derivatives

DOI10.1155/2013/567340zbMath1291.91207OpenAlexW2101832222WikidataQ58917136 ScholiaQ58917136MaRDI QIDQ2015749

Yong-Ki Ma, Beom Jin Kim

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/567340

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• On Cox processes and credit risky securities
• Pricing the risks of default
• Term structure modelling of defaultable bonds
• Optimal capital structure and endogenous default
• A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES
• Pricing the credit default swap rate for jump diffusion default intensity processes
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
• Multiscale Intensity Models for Single Name Credit Derivatives
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Pricing Interest-Rate-Derivative Securities
• Credit risk: Modelling, valuation and hedging
• Stochastic differential equations. An introduction with applications.

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