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| HAL : hal-00414280, version 2 |
| Fiche détaillée |  Récupérer au format |
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| Versions disponibles : | v1 (08-09-2009) | v2 (30-03-2010) |
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| A closed-form extension to the Black-Cox model |
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| Aurélien Alfonsi 1Jérôme Lelong 2, 3 |
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| (08/09/2009) |
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| In the Black-Cox model, a firm defaults when its value hits an exponential barrier. Here, we propose an hybrid model that generalizes this framework. The default intensity can take two different values and switches when the firm value crosses a barrier. Of course, the intensity level is higher below the barrier. We get an analytic formula for the Laplace transform of the default time. This result can be also extended to multiple barriers and intensity levels. Then, we explain how this model can be calibrated to Credit Default Swap prices and show its tractability on different kinds of data. We also present numerical methods to numerically recover the default time distribution. |
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| 1 : | Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS) |
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Ecole des Ponts ParisTech |
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| 2 : | Unité de Mathématiques Appliquées (UMA) |
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ENSTA ParisTech |
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| 3 : | Laboratoire Jean Kuntzmann (LJK) |
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CNRS : UMR5224 – Université Joseph Fourier - Grenoble I – Université Pierre Mendès-France - Grenoble II – Institut Polytechnique de Grenoble - Grenoble Institute of Technology |
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| Domaine | : | Mathématiques/Probabilités Économie et finance quantitative/Finance quantitative |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00414280, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00414280 | |
| oai:hal.archives-ouvertes.fr:hal-00414280 | |
| Contributeur : Alfonsi Aurélien | |
| Soumis le : Lundi 29 Mars 2010, 15:13:38 | |
| Dernière modification le : Mardi 30 Mars 2010, 08:30:40 | |
