A smiulation-based first-to-default (FTD) credit default swap (CDS) pricing approach under jump-diffusion

被引：0
|
作者：
Joro, T [1 ]
Niu, AR [1 ]
Na, P [1 ]
机构：
[1] Univ Alberta, Sch Business, Edmonton, AB T6G 2R6, Canada
来源：
PROCEEDINGS OF THE 2004 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 | 2004年
关键词：
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In recent years, the credit derivatives market has grown explosively and credit derivatives have become popular tools for hedging credit risk of financial institutions. Among the more sophisticated credit derivatives are the ones where the contingent payoffs depend on the dependence relationship among several firms in a basket, such as First-to-Default Credit Default Swap. In this paper, we present a simulation-based First-to-Default Credit Derivative Swap pricing approach under jump-diffusion and compare it with the popular default-time approach via Copula.
引用
收藏
页码：1632 / 1636
页数：5
相关论文
共 50 条
  • [21] Pricing constant-maturity credit default swaps under jump dynamics
    Jonsson, Henrik
    Schoutens, Wim
    [J]. JOURNAL OF CREDIT RISK, 2009, 5 (01): : 75 - 95
  • [22] Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
    Liu, Shican
    Yang, Yu
    Zhang, Hu
    Wu, Yonghong
    [J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2021, 2021
  • [23] Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
    Pasricha, Puneet
    Selvamuthu, Dharmaraja
    Tardelli, Paola
    [J]. OPSEARCH, 2024,
  • [24] A note on the calculation of default probabilities in "Structural credit risk modeling with Hawkes jump-diffusion processes"
    Pasricha, Puneet
    Lu, Xiaoping
    Zhu, Song-Ping
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2021, 381
  • [25] Pricing CDS with Jump-Diffusion Risk in the Intensity-Based Model
    Hao, Ruili
    Ye, Zhongxing
    [J]. NONLINEAR MATHEMATICS FOR UNCERTAINTY AND ITS APPLICATIONS, 2011, 100 : 221 - 229
  • [26] PRICING VULNERABLE OPTIONS WITH CORRELATED CREDIT RISK UNDER JUMP-DIFFUSION PROCESSES
    Tian, Lihui
    Wang, Guanying
    Wang, Xingchun
    Wang, Yongjin
    [J]. JOURNAL OF FUTURES MARKETS, 2014, 34 (10) : 957 - 979
  • [27] The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach
    Erdas, Mehmet Levent
    [J]. ISTANBUL BUSINESS RESEARCH, 2022, 51 (01): : 25 - 46
  • [28] PRICING CDSS AND CDS OPTIONS UNDER A REGIME-SWITCHING CEV PROCESS WITH JUMP TO DEFAULT
    Xu, Ruxing
    Wu, Dan
    Yi, Ronghua
    [J]. ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2016, 50 (01): : 253 - 271
  • [29] Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
    Wang, Suxin
    Rong, Ximin
    Zhao, Hui
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 48 (17) : 4221 - 4249
  • [30] Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
    Li, Zelei
    Tang, Dan
    Wang, Xingchun
    [J]. EUROPEAN JOURNAL OF FINANCE, 2023, 29 (12): : 1406 - 1431
12345