A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

DOI10.1007/S10483-007-1211-9zbMath1231.62186OpenAlexW2024264543MaRDI QIDQ940499

Yun-Fen Bai, Xin-Hua Hu, Zhong-Xing Ye

Publication date: 1 September 2008

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10483-007-1211-9

zbMATH Keywords

change of measureCDS

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (6)

Pricing options with credit risk in a reduced form model ⋮ Total return swap valuation with counterparty risk and interest rate risk ⋮ A new default probability calculation formula and its application under uncertain environments ⋮ 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. ⋮ The intensity model for pricing credit securities with jump diffusion and counterparty risk

Cites Work

• On Cox processes and credit risky securities
• Martingales and stochastic integrals in the theory of continuous trading
• A General Formula for Valuing Defaultable Securities

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