NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES

DOI10.1142/S0219024913500490zbMath1290.91184MaRDI QIDQ5411746

Leslie Ng

Publication date: 25 April 2014

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

zbMATH Keywords

credit default swapsstochastic intensitycredit value adjustmentwrong way riskBlack-Karasinski modelHull-White multi-factor interest rate model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit

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