Pricing the credit default swap rate for jump diffusion default intensity processes

DOI10.1080/14697680903382768zbMath1204.91129OpenAlexW2026928316MaRDI QIDQ3063847

Yong-Ki Ma, Jeong-Hoon Kim

Publication date: 15 December 2010

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

Full work available at URL: https://doi.org/10.1080/14697680903382768

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (8)

Multiscale analysis on the pricing of intensity-based defaultable bonds ⋮ A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling ⋮ Joint survival probability via truncated invariant copula ⋮ Correlated log-normal random variables under a multiscale volatility model ⋮ Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks ⋮ Asymptotic analysis for one-name credit derivatives ⋮ Unnamed Item ⋮ Valuation of credit derivatives with multiple time scales in the intensity model

Cites Work

• Valuation of a credit swap of the basket type
• Interest rate models -- theory and practice. With smile, inflation and credit
• Default and information
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• A Theory of the Term Structure of Interest Rates
• Stochastic differential equations. An introduction with applications.

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