Linear credit risk models

DOI10.1007/s00780-019-00409-zzbMath1445.91066arXiv1605.07419OpenAlexW3125565317MaRDI QIDQ2282965

Damir Filipović, Damien Ackerer

Publication date: 27 December 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.07419

zbMATH Keywords

credit riskcredit derivativescredit default swappolynomial modelsurvival process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Estimation in survival analysis and censored data (62N02) Credit risk (91G40)

Related Items (8)

Polynomial Jump-Diffusion Models ⋮ A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period ⋮ SMILE MODELING IN COMMODITY MARKETS ⋮ Infinite-dimensional polynomial processes ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ LINEAR STOCHASTIC DIVIDEND MODEL ⋮ Correlators of Polynomial Processes ⋮ Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball

Uses Software

• Expokit
• mftoolbox

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate Jacobi process with application to smooth transitions
• Additive subordination and its applications in finance
• Polynomial diffusions and applications in finance
• On Cox processes and credit risky securities
• Hedging of a credit default swaption in the CIR default intensity model
• Term-structure models. A graduate course
• An interest rate model with upper and lower bounds
• Dependent defaults and losses with factor copula models
• The Jacobi stochastic volatility model
• Chebyshev interpolation for parametric option pricing
• Valuation of credit default swaps and swaptions
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Pricing and trading credit default swaps in a hazard process model
• Density approximations for multivariate affine jump-diffusion processes
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• On Models of Default Risk
• MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS
• Sato Processes in Default Modelling
• Computing the Action of the Matrix Exponential, with an Application to Exponential Integrators
• AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• Credit Risk Modeling
• Expokit
• Polynomial Jump-Diffusion Models
• Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Functions of Matrices
• Credit risk: Modelling, valuation and hedging

This page was built for publication: Linear credit risk models