On the conditional default probability in a regulated market with jump risk

DOI10.1080/14697688.2013.815795zbMath1282.91352OpenAlexW3123649261MaRDI QIDQ5400666

Xindan Li, Xuewei Yang, Li Jun Bo, Yong Jin Wang

Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.815795

zbMATH Keywords

credit spreaddefaultable bondregulated marketconditional default probabilityregulated jump-diffusions

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Related Items (9)

Default probability estimation via pair copula constructions ⋮ On the probability of default in a market with price clustering and jump risk ⋮ The hitting time density for a reflected Brownian motion ⋮ Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling ⋮ Optimal processing rate and buffer size of a jump-diffusion processing system ⋮ On pricing barrier control in a regime-switching regulated market ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Optimal pricing barriers in a regulated market using reflected diffusion processes ⋮ Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models

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