Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives

DOI10.1080/13504860902765545zbMath1178.91066OpenAlexW3123160637MaRDI QIDQ3652704

Evan Papageorgiou, Ronnie Sircar

Publication date: 16 December 2009

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

Full work available at URL: https://doi.org/10.1080/13504860902765545

zbMATH Keywords

stochastic volatilityasymptotic approximationmultiple time scalestop-downcollateralized debt obligationsintensity-based modelbottom-uphomogeneous-group factor models

Mathematics Subject Classification ID

Related Items (5)

Multiscale analysis on the pricing of intensity-based defaultable bonds ⋮ Asymptotic expansion formula of option price under multifactor Heston model ⋮ GRAPHICAL MODELS FOR CORRELATED DEFAULTS ⋮ Pricing basket default swaps in a tractable shot noise model ⋮ Utility valuation of multi-name credit derivatives and application to CDOs

Uses Software

• CreditRisk+

Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• Two singular diffusion problems
• Multiscale Intensity Models for Single Name Credit Derivatives
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• On the Fast Fourier Transform Inversion of Probability Generating Functions
• Singular Perturbations in Option Pricing
• Stochastic Volatility Corrections for Interest Rate Derivatives

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