Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds
Joint Authors
Cho, Sun-Hwa
Kim, Jeong-Hoon
Ma, Yong-Ki
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-16
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random and driven by two different factors varying on fast and slow time scales.
Corrections to the constant intensity of default are obtained and then how these corrections influence the term structure of interest rate derivatives is shown.
The results indicate that the fast scale correction produces a more significant impact on the bond price than the slow scale correction and the impact tends to increase as time to maturity increases.
American Psychological Association (APA)
Cho, Sun-Hwa& Kim, Jeong-Hoon& Ma, Yong-Ki. 2013. Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-460563
Modern Language Association (MLA)
Cho, Sun-Hwa…[et al.]. Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds. Journal of Applied Mathematics No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-460563
American Medical Association (AMA)
Cho, Sun-Hwa& Kim, Jeong-Hoon& Ma, Yong-Ki. Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-460563
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-460563