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My bibliography Save this paperCredit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
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Cited by:
- Damiano Brigo & Naoufel El-Bachir, 2007.
"An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model,"
ICMA Centre Discussion Papers in Finance
icma-dp2007-14, Henley Business School, University of Reading.
- Damiano Brigo & Naoufel El-Bachir, 2008. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Papers 0812.4199, arXiv.org.
- Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
- Marco Di Francesco & Kevin Kamm, 2021. "How to handle negative interest rates in a CIR framework," Papers 2106.03716, arXiv.org.
- Ayub Ahmadi & Mahdieh Tahmasebi, 2024. "Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus," Papers 2405.00473, arXiv.org.
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More about this item
Keywords
Credit derivatives; credit default; swap; credit default swaption; jump-diffusion; stochastic intensity; doubly stochastic poisson process; cox process;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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