Variance Swaps on Defaultable Assets and Market Implied Time-Changes

DOI10.1137/140955380zbMath1338.91141arXiv1209.0697OpenAlexW3122718486MaRDI QIDQ2813077

Matthew Lorig, Rafael Mendoza-Arriaga, Oriol Lozano-Carbassé

Publication date: 15 June 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.0697

zbMATH Keywords

defaultsubordinationbankruptcyvariance swapsimplied time-changesjump-to-default constant elasticity of variance (JDCEV)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99) Credit risk (91G40)

Related Items (6)

A general framework for time-changed Markov processes and applications ⋮ Additive subordination and its applications in finance ⋮ Time-changed CIR default intensities with two-sided mean-reverting jumps ⋮ MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS ⋮ Equivalent measure changes for subordinate diffusions ⋮ Pricing Variance Swaps on Time-Changed Markov Processes

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