Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
| Autor: | Ruili Hao, Wenjing Gu, Yinglin Liu |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Vasicek model
050208 finance Credit default swap Financial economics 05 social sciences 02 engineering and technology Interest rate risk Credit default swap index Short-rate model 0502 economics and business 0202 electrical engineering electronic engineering information engineering Econometrics Economics 020201 artificial intelligence & image processing Counterparty Yield curve Credit valuation adjustment |
| Zdroj: | Journal of Mathematical Finance. :247-259 |
| ISSN: | 2162-2442 2162-2434 |
| Popis: | This paper mainly discusses the pricing of credit default swap (CDS) in the fractional dimension environment. We assume that the default intensity of a firm depends on the default states of counterparty firms and the term structure of interest rates, but the contagious impact of the counterparty firm is decreasing over time, until disappears. The interest rate risk is reflected by the fractional Vasicek interest rate model. We model the firm’s default intensity in the looping default framework and derive the pricing formulas of risky bonds and credit default swap. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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