A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS

DOI10.1142/S0219024909005142zbMath1182.91182OpenAlexW2046170732MaRDI QIDQ3632193

L. C. G. Rogers, Guiseppe di Graziano

Publication date: 23 June 2009

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

Full work available at URL: https://doi.org/10.1142/s0219024909005142

zbMATH Keywords

copulacorrelationLaplace transformMarkov chaincredit derivativesdefault riskCDO

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (11)

A reduced-form model for correlated defaults with regime-switching shot noise intensities ⋮ Pricing credit derivatives under a correlated regime-switching hazard processes model ⋮ The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier ⋮ CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS ⋮ Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions ⋮ Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering ⋮ Parameter Estimation in Credit Models Under Incomplete Information ⋮ An extension of Davis and Lo's contagion model ⋮ Linear credit risk models ⋮ Sato Processes in Default Modelling ⋮ A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk

Cites Work

• Pricing double barrier options using Laplace transforms
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Credit risk: Modelling, valuation and hedging
• Unnamed Item

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