CDS calibration under an extended JDCEV model

DOI10.1080/00207160.2018.1512104zbMath1499.91170OpenAlexW2887380817MaRDI QIDQ5031741

Sidy Diop, Marco Di Francesco, Andrea Pascucci

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1512104

zbMATH Keywords

asymptotic expansioncredit default swapconstant elasticity of variance modelhybrid credit-equity model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Credit risk (91G40)

Related Items (2)

PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

Cites Work

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• PDE and martingale methods in option pricing.
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
• Analytical Expansions for Parabolic Equations

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