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BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

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  • EL-Mohammadi, Rachid
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    Abstract

    We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.

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    File URL: http://mpra.ub.uni-muenchen.de/42781/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 42781.

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    Date of creation: Oct 2009
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    Handle: RePEc:pra:mprapa:42781

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    Keywords: Quanto CDS; Devaluation Risk; Model with Jump; Lognormal hazard rate model; Calibration; Forward PDE; Pricing quanto survival probablity;

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