Structural pricing of CoCos and deposit insurance with regime switching and jumps

DOI10.1007/s10690-020-09304-6zbMath1467.91200OpenAlexW2806313491MaRDI QIDQ2036863

Publication date: 30 June 2021

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-020-09304-6

zbMATH Keywords

regime switching first passage time jump-diffusion deposit insurance structural model matrix Wiener-Hopf factorization CoCos esscher transform

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

Related Items (2)

On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time

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