Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model

DOI10.1007/978-3-319-50986-0_20zbMath1383.62250OpenAlexW2595424946MaRDI QIDQ4609030

J. Weckend, Ludger Overbeck

Publication date: 29 March 2018

Published in: From Statistics to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-50986-0_20

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (1)

Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model

Cites Work

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• On Cox processes and credit risky securities
• Option pricing and Esscher transform under regime switching
• Interest rate models -- theory and practice. With smile, inflation and credit
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Valuation of credit default swaps and swaptions
• A Theory of the Term Structure of Interest Rates
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model
• Counterparty Credit Risk, Collateral and Funding
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

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