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Pricing contingent claims with credit risk: Asymptotic expansion approach

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Author Info
Yoshifumi Muroi ()
Abstract

The pricing problems of credit derivatives have received much attention in the last decade. An important unresolved problem, however, is the pricing of credit derivatives under the general environment in which the interest rate process and the hazard rate process are stochastic. This article addresses the pricing problems of credit derivatives by the asymptotic expansion approach. This approach has only recently been introduced to mathematical finance, and it enables us to evaluate credit derivatives under a widely adapted class of models. We also present a numerical study. Copyright Springer-Verlag Berlin/Heidelberg 2005

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File URL: http://hdl.handle.net/10.1007/s00780-004-0147-2
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 9 (2005)
Issue (Month): 3 (07)
Pages: 415-427
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Handle: RePEc:spr:finsto:v:9:y:2005:i:3:p:415-427

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Related research
Keywords: Defaultable bond; asymptotic expansion approach; spot interest rate; hazard rate process; credit defaultable swaps; options on defaultable bonds;

Cited by:
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  1. Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-538, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  2. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 69-121, March. [Downloadable!] (restricted)
  3. SHerrill Shaffer, 2008. "Strategic Risk Aversion," CAMA Working Papers 2008-25, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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