CDS calibration under an extended JDCEV model
type: Item
instance of: scholarly article
title: CDS calibration under an extended JDCEV model
zbMATH Open document ID: 1499.91170
DOI: 10.1080/00207160.2018.1512104
author: Marco Di Francesco
author: Sidy Diop
author: Andrea Pascucci
published in: International Journal of Computer Mathematics
publication date: 2022-02-16T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 7474764
zbMATH Keywords: credit default swap
zbMATH Keywords: hybrid credit-equity model
zbMATH Keywords: constant elasticity of variance model
zbMATH Keywords: asymptotic expansion
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/00207160.2018.1512104
OpenAlex ID: W2887380817
cites work: Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
cites work: A jump to default extended CEV model: an application of Bessel processes
cites work: Recursive valuation of defaultable securities and the timing of resolution of uncertainty
cites work: Q2782358
cites work: Mathematical methods for financial markets.
cites work: Analytical Expansions for Parabolic Equations
cites work: Pricing equity default swaps under the jump-to-default extended CEV model
cites work: TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
cites work: Expansions asymptotiques pour équations paraboliques dégénérées
cites work: PDE and martingale methods in option pricing.
Wikidata QID: Q129391439
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description: scientific article; zbMATH DE number 7474764