A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
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- Jin Liang & Jun Ma & Tao Wang & Qin Ji, 2011. "Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 33-54, March.
- Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
- Fan Yu, 2007. "Correlated Defaults In Intensity-Based Models," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 155-173.
- Liang, Xue & Wang, Guojing, 2012. "On a reduced form credit risk model with common shock and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 567-575.
- J. Benson Durham, 2005. "Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates," Finance and Economics Discussion Series 2005-53, Board of Governors of the Federal Reserve System (U.S.).
- Wang, Guojing & Yuen, Kam C., 2005. "On a correlated aggregate claims model with thinning-dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 456-468, June.
- George Chacko, 2002. "Pricing Interest Rate Derivatives: A General Approach," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 195-241, March.
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- Changqing Luo & Mengzhen Li & Zisheng Ouyang, 2016. "An Empirical Study on the Correlation Structure of Credit Spreads based on the Dynamic and Pair Copula Functions," China Finance Review International, Emerald Group Publishing, vol. 6(3), pages 284-303, August.
- Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Valuing commodity options and futures options with changing economic conditions," Economic Modelling, Elsevier, vol. 51(C), pages 524-533.
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KeywordsThinning-dependence structure; Regime switching; Jump-diffusion model; Joint conditional survival probability; Portfolio credit derivatives;
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