کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
480405 | 1446112 | 2011 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model](/preview/png/480405.png)
چکیده انگلیسی
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by the entire credit spread term structure. The paper provides the defaultable bond and credit default swap option price in a probability setting equipped with a subfiltration structure. The Euler–Maruyama stochastic integral approximation and the Monte Carlo method are applied to develop a numerical scheme for pricing. Finally, the antithetic variable technique is used to reduce the variance of credit default swap option prices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 208, Issue 2, 16 January 2011, Pages 95–108
Journal: European Journal of Operational Research - Volume 208, Issue 2, 16 January 2011, Pages 95–108
نویسندگان
Carl Chiarella, Viviana Fanelli, Silvana Musti,