Valuation of credit derivatives with multiple time scales in the intensity model

DOI10.1155/2014/968065zbMath1442.91108OpenAlexW2167139075WikidataQ59054527 ScholiaQ59054527MaRDI QIDQ2336889

Yong-Ki Ma, Chan Yeol Park, Beom Jin Kim

Publication date: 19 November 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/968065

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Unnamed Item
• On Cox processes and credit risky securities
• Term structure modelling of defaultable bonds
• Pricing the credit default swap rate for jump diffusion default intensity processes
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Stochastic Volatility Effects on Defaultable Bonds
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
• Multiscale Intensity Models for Single Name Credit Derivatives
• Singular Perturbations in Option Pricing
• Multiscale Stochastic Volatility Asymptotics
• Pricing Interest-Rate-Derivative Securities
• Stochastic differential equations. An introduction with applications.

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