The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-04-26
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
We present an intensity-based model with counterparty risk.
We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms.
Furthermore, we make use of the techniques in Park (2008) to compute the conditional distribution of default times and derive the explicit prices of bond and CDS.
These are extensions of the models in Jarrow and Yu (2001).
American Psychological Association (APA)
Hao, Ruili& Ye, Zhongxing. 2011. The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk. Mathematical Problems in Engineering،Vol. 2011, no. 2011, pp.1-16.
https://search.emarefa.net/detail/BIM-470069
Modern Language Association (MLA)
Hao, Ruili& Ye, Zhongxing. The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk. Mathematical Problems in Engineering No. 2011 (2011), pp.1-16.
https://search.emarefa.net/detail/BIM-470069
American Medical Association (AMA)
Hao, Ruili& Ye, Zhongxing. The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk. Mathematical Problems in Engineering. 2011. Vol. 2011, no. 2011, pp.1-16.
https://search.emarefa.net/detail/BIM-470069
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-470069