CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024913500192zbMath1271.91101OpenAlexW3122840348MaRDI QIDQ2842532

Samuel Chege Maina, Christina Nikitopoulos Sklibosios, Carl Chiarella

Publication date: 15 August 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500192

zbMATH Keywords

stochastic volatilitycredit spreadsHeath-Jarrow-Morton frameworkCDS ratesdefaultable bond prices

Mathematics Subject Classification ID

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

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A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch

Cites Work

• A complete Markovian stochastic volatility model in the HJM framework
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• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Bond Market Structure in the Presence of Marked Point Processes