Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model

DOI10.1016/j.ejor.2010.03.006zbMath1206.91078OpenAlexW3122388441MaRDI QIDQ621671

Carl Chiarella, Silvana Musti, Viviana Fanelli

Publication date: 28 January 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp255.pdf

zbMATH Keywords

Monte Carlo methodpricingCox processHJM modelCDS option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Credit risk (91G40)

Related Items (7)

A cyclical square-root model for the term structure of interest rates ⋮ A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch ⋮ Implications of implicit credit spread volatilities on interest rate modelling ⋮ Statistical properties and economic implications of jump-diffusion processes with shot-noise effects ⋮ Evaluating corporate bonds with complicated liability structures and bond provisions ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market ⋮ Pricing and risk management of interest rate swaps

Cites Work

• Unnamed Item
• On Cox processes and credit risky securities
• Term structure modelling of defaultable bonds
• Valuation of credit default swaps and swaptions
• A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
• A Theory of the Term Structure of Interest Rates
• A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Arbitrage Theory in Continuous Time

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