Pricing bonds and CDS in the model with rating migration induced by a Cox process

• Autorzy: Jacek Jakubowski , Mariusz Niewęgłowski
• Języki publikacji: EN

Abstrakty

EN

We investigate the properties of a rating migration process assuming that it is given by subordination of a discrete time Markov chain and a Cox process. The problem of pricing of defaultable bonds with fractional recovery of par value with rating migration and credit default swaps is considered. As an example of applications of our results, we give an explicit solution to the pricing problem in a model with short rate and intensity processes given by the solution of a two-dimensional Ornstein-Uhlenbeck equation with a Lévy noise.

Kategorie tematyczne

• 62P05: Applications to actuarial sciences and financial mathematics
• 91B70: Stochastic models
• 60J27: Continuous-time Markov processes on discrete state spaces

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2008
• Tom: 83
• Numer: 1
• Strony: 159-182

Daty

wydano

2008

Twórcy

autor

Jacek Jakubowski

• Institute of Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland
• Faculty of Mathematics and Information Science, Warsaw University of Technology

autor

Mariusz Niewęgłowski

• Faculty of Mathematics and, Information Science, Warsaw University of Technology, Plac Politechniki 1, 00-661 Warszawa, Poland

Identyfikatory

DOI

10.4064/bc83-0-10