On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

DOI10.1214/22-ECP458zbMath1484.91466OpenAlexW4225746186MaRDI QIDQ2113272

Sergio Scarlatti, Fabio Antonelli, Alessandro Ramponi

Publication date: 11 March 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/22-ecp458

zbMATH Keywords

credit riskanalytical functionschange of numérairedefaultable bond pricinghazard processnon-affine models

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Unnamed Item
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• Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
• A comparison of biased simulation schemes for stochastic volatility models
• Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
• PDE approach to valuation and hedging of credit derivatives

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