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This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random and driven by two ...
Multiscale Analysis on the Pricing of Intensity‐Based Defaultable Bonds
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May 16, 2013 · This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random and driven by two ...
This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random.
Feb 4, 2013 · This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random.
Apr 19, 2013 · This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random and driven ...
In this thesis we study the pricing of single-name and multi-name credit derivatives and analyze it with asymptotic methods for the solution of partial ...
ABSTRACT. We study the pricing of defaultable derivatives, such as bonds, bond options, and credit default swaps in the reduced form framework of intensity- ...
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We study the pricing of defaultable derivatives, such as bonds, bond options, and credit default swaps in the reduced form framework of intensity-based models.
We propose a new model to price defaultable bonds which incorporates features of both structural and reduced-form models of credit risk.
The intensity approach has been pursued considering that at each instant there is some probability that a firm defaults on its obligations. Both this ...