Credit risky securities valuation under a contagion model with interacting intensities

DOI10.1155/2011/158020zbMath1223.91039DBLPjournals/jam/WangY11OpenAlexW2139873663WikidataQ58690267 ScholiaQ58690267MaRDI QIDQ642743

Anjiao Wang, Zhong-Xing Ye

Publication date: 27 October 2011

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/158020

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

The pricing of total return swap under default contagion models with jump-diffusion interest rate risk ⋮ The pricing of credit risky securities under stochastic interest rate model with default correlation.

Cites Work

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• Valuation of credit default swaps and swaptions
• On Models of Default Risk
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Term Structures of Credit Spreads with Incomplete Accounting Information
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• A General Formula for Valuing Defaultable Securities

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