Systematic equity-based credit risk: A CEV model with jump to default

DOI10.1016/j.jedc.2008.03.011zbMath1170.91408OpenAlexW2094379389MaRDI QIDQ2271610

Luciano Campi, Alessandro Sbuelz, Simon Polbennikov

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/750984

zbMATH Keywords

equitycredit default swapscorporate bondsjump-to-default riskconstant-elasticity-of-variance (CEV) diffusive riskmarket price of credit risk

Mathematics Subject Classification ID

Related Items (19)

General dynamic term structures under default risk ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ A jump to default extended CEV model: an application of Bessel processes ⋮ Enhanced equity-credit modelling for contingent convertibles ⋮ Probing option prices for information ⋮ Pricing VXX option with default risk and positive volatility skew ⋮ Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions ⋮ Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions ⋮ Pricing equity default swaps under the jump-to-default extended CEV model ⋮ MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ The role of non-convex costs in firms' investment and financial dynamics ⋮ Portfolio choices and VaR constraint with a defaultable asset ⋮ Mean-variance portfolio selection under a constant elasticity of variance model ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion ⋮ Information uncertainty related to marked random times and optimal investment ⋮ Empirical analysis and calibration of the CEV process for pricing equity default swaps ⋮ A unified approach to pricing and risk management of equity and credit risk

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