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Modeling credit default swap premiums with stochastic recovery rate

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Listed:
  • Zahra Sokoot
  • Navideh Modarresi
  • Farzaneh Niknejad

Abstract

There are many studies on development of models for analyzing some derivatives such as credit default swaps .

Suggested Citation

  • Zahra Sokoot & Navideh Modarresi & Farzaneh Niknejad, 2017. "Modeling credit default swap premiums with stochastic recovery rate," Papers 1706.05703, arXiv.org.
    • Handle: RePEc:arx:papers:1706.05703
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    File URL: http://arxiv.org/pdf/1706.05703
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    References listed on IDEAS

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    1. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    2. Brockwell, Peter J. & Davis, Richard A. & Yang, Yu, 2011. "Estimation for Non-Negative Lévy-Driven CARMA Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 250-259.
    3. Peter J. Brockwell & Richard A. Davis & Yu Yang, 2011. "Estimation for Non-Negative Lévy-Driven CARMA Processes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 250-259, April.
    4. Peter J. Brockwell & Vincenzo Ferrazzano & Claudia Klüppelberg, 2013. "High-frequency sampling and kernel estimation for continuous-time moving average processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 385-404, May.
    5. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
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