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
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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.
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页码：1632 / 1636
页数：5
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