THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION

DOI10.1142/S0219024906003597zbMath1154.91429OpenAlexW1975400882MaRDI QIDQ5483441

Laurent Cousot, Damiano Brigo

Publication date: 14 August 2006

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

Full work available at URL: https://doi.org/10.1142/s0219024906003597

zbMATH Keywords

option pricingMonte Carlo simulationcalibrationcredit default swapstochastic intensity modelcredit spread volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (6)

A dynamic programming approach for pricing CDS and CDS options ⋮ Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ A general Gaussian interest rate model consistent with the current term structure ⋮ BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS ⋮ Sato Processes in Default Modelling ⋮ COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

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