Credit derivatives pricing with default density term structure modelled by Lévy random fields

Abstract : We model the term structure of the forward default intensity and the default density by using Lévy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the pricing of a defaultable bond and represent the pricing kernel as the unique solution of a parabolic integro-differential equation. Finally, we illustrate by numerical examples the impact of the contagious jump risks on the defaultable bond price in our model.
Type de document :
Pré-publication, Document de travail
2011
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-00651397
Contributeur : Ying Jiao <>
Soumis le : mardi 13 décembre 2011 - 15:09:26
Dernière modification le : jeudi 27 avril 2017 - 09:45:58
Document(s) archivé(s) le : mercredi 14 mars 2012 - 02:25:17

Fichiers

randomfield-FV.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00651397, version 1
  • ARXIV : 1112.2952

Collections

Citation

Lijun Bo, Ying Jiao, Xuewei Yang. Credit derivatives pricing with default density term structure modelled by Lévy random fields. 2011. <hal-00651397>

Partager

Métriques

Consultations de
la notice

102

Téléchargements du document

47