Geodesic
The pricing of credit risky securities under stochastic interest rate model with default correlation
Applications of Mathematics, Tome 58 (2013) no. 6, pp. 703-727.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of measure and the technology (H. S. Park (2008), R. Hao and Z. Ye (2011)) of dealing with jump diffusion processes, we obtain the analytic pricing formulas of defaultable zero-coupon bonds. Moreover, by the ``total hazard construction'', we give the analytic pricing formulas of credit default swap (CDS).
DOI : 10.1007/s10492-013-0036-0
Classification : 60G51, 60H30
Keywords: credit risk; default correlation; defaultable bond; credit default swap; default intensity 
@article{10_1007_s10492_013_0036_0,
     author = {Wang, Anjiao and Ye, Zhongxing},
     title = {The pricing of credit risky securities under stochastic interest rate model with default correlation},
     journal = {Applications of Mathematics},
     pages = {703--727},
     publisher = {mathdoc},
     volume = {58},
     number = {6},
     year = {2013},
     doi = {10.1007/s10492-013-0036-0},
     mrnumber = {3162756},
     zbl = {06312923},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0036-0/}
}
TY  - JOUR
AU  - Wang, Anjiao
AU  - Ye, Zhongxing
TI  - The pricing of credit risky securities under stochastic interest rate model with default correlation
JO  - Applications of Mathematics
PY  - 2013
SP  - 703
EP  - 727
VL  - 58
IS  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0036-0/
DO  - 10.1007/s10492-013-0036-0
LA  - en
ID  - 10_1007_s10492_013_0036_0
ER  - 
%0 Journal Article
%A Wang, Anjiao
%A Ye, Zhongxing
%T The pricing of credit risky securities under stochastic interest rate model with default correlation
%J Applications of Mathematics
%D 2013
%P 703-727
%V 58
%N 6
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0036-0/
%R 10.1007/s10492-013-0036-0
%G en
%F 10_1007_s10492_013_0036_0
Wang, Anjiao; Ye, Zhongxing. The pricing of credit risky securities under stochastic interest rate model with default correlation. Applications of Mathematics, Tome 58 (2013) no. 6, pp. 703-727. doi : 10.1007/s10492-013-0036-0. http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0036-0/

Cité par Sources :