Thekth default time distribution and basket default swap pricing

DOI10.1080/14697688.2010.494611zbMath1277.91167OpenAlexW1997100450MaRDI QIDQ2866391

Hyun Jin Jang, Geon Ho Choe

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.494611

zbMATH Keywords

martingalesasset pricingstochastic differential equationscredit derivativescredit default swapscontinuous-time financeapplications to default risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

Reduced-form framework for multiple ordered default times under model uncertainty ⋮ On pricing basket credit default swaps ⋮ Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models ⋮ Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas ⋮ A factor contagion model for portfolio credit derivatives

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Fast Pricing of Basket Default Swaps
• Efficient hybrid methods for portfolio credit derivatives

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