Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
From MaRDI portal
Publication:6581975
DOI10.1016/j.cam.2024.115993zbMATH Open1544.91309MaRDI QIDQ6581975
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
Publication date: 1 August 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
stochastic modelingforecastingFeller processcredit default swapsCox-Ingersoll-Ross processChen model
Cites Work
- Pricing the risks of default
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
- First order strong approximations of scalar SDEs defined in a domain
- Mathematical methods for financial markets.
- Default and information
- A bond pricing formula under a non-trivial, three-factor model of interest rates
- New methods in fixed income modeling. Fixed income modeling
- Martingale estimation functions for discretely observed diffusion processes
- Interest rate dynamics, derivatives pricing, and risk management
- Density estimates for solutions to one dimensional backward SDE's
- Time-non-local Pearson diffusions
- A simple construction of certain diffusion processes
- Fractional Pearson diffusions
- Simulation and inference for stochastic differential equations. With R examples.
- Foreign exchange options on Heston-CIR model under Lévy process framework
- A Theory of the Term Structure of Interest Rates
- Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
- Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
- Non-Life Insurance Pricing with Generalized Linear Models
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- Robust regression using iteratively reweighted least-squares
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
- Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work
- Modern Financial Engineering
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Generalized Linear Models for Insurance Data
- Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
This page was built for publication: Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
