Multiscale Intensity Models for Single Name Credit Derivatives

DOI10.1080/13504860701352222zbMath1134.91456OpenAlexW3124955582MaRDI QIDQ3502204

Evan Papageorgiou, Ronnie Sircar

Publication date: 22 May 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701352222

zbMATH Keywords

time scalesasymptotic approximationdefaultable bondcredit default swapdefaultable bond option

Mathematics Subject Classification ID

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

Related Items (7)

Multiscale analysis on the pricing of intensity-based defaultable bonds ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS ⋮ A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES ⋮ Asymptotic analysis for one-name credit derivatives ⋮ Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives ⋮ Valuation of credit derivatives with multiple time scales in the intensity model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Term structure modelling of defaultable bonds
• A Theory of the Term Structure of Interest Rates
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Stochastic Volatility Effects on Defaultable Bonds
• Credit Risk Modeling
• Singular Perturbations in Option Pricing
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Volatility Corrections for Interest Rate Derivatives
• An equilibrium characterization of the term structure
• Interest rate models -- theory and practice

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