Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform

DOI10.1016/J.INSMATHECO.2015.09.005zbMath1348.91284OpenAlexW2132845614MaRDI QIDQ896751

Xuemiao Hao, Xuan Li

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.09.005

zbMATH Keywords

Lévy processcredit default swapstructural modelinfinite activityrandom recovery rate

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Laplace transform (44A10) Numerical methods for integral transforms (65R10) Credit risk (91G40)

Related Items (4)

A limit distribution of credit portfolio losses with low default probabilities ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions

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