Czasopismo
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Autorzy
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Języki publikacji
Abstrakty
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.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
159-182
Opis fizyczny
Daty
wydano
2008
Twórcy
autor
- Institute of Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland
- Faculty of Mathematics and Information Science, Warsaw University of Technology
autor
- Faculty of Mathematics and, Information Science, Warsaw University of Technology, Plac Politechniki 1, 00-661 Warszawa, Poland
Bibliografia
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-10