Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model
Joint Authors
Kim, Beom Jin
Park, Chan Yeol
Ma, Yong-Ki
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-08-21
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We propose approximate solutions for pricing zero-coupon defaultable bonds, credit default swap rates, and bond options based on the averaging principle of stochastic differential equations.
We consider the intensity-based defaultable bond, where the volatility of the default intensity is driven by multiple time scales.
Small corrections are computed using regular and singular perturbations to the intensity of default.
The effectiveness of these corrections is tested on the bond price and yield curve by investigating the behavior of the time scales with respect to the relevant parameters.
American Psychological Association (APA)
Kim, Beom Jin& Park, Chan Yeol& Ma, Yong-Ki. 2014. Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-512177
Modern Language Association (MLA)
Kim, Beom Jin…[et al.]. Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model. Journal of Applied Mathematics No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-512177
American Medical Association (AMA)
Kim, Beom Jin& Park, Chan Yeol& Ma, Yong-Ki. Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-512177
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512177