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공공누리This item is licensed Korea Open Government License

Title
Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model
Author(s)
김범진박찬열
Publication Year
2014-08-21
Abstract
We propose approximate solutions for pricing zero-coupon defaultable bonds, credit default swap rates, and bond options based on the averaging principle of stochastic differential equations. We consider the intensity-based defaultable bond, where the volatility of the default intensity is driven by multiple time scales. Small corrections are computed using regular and singular perturbations to the intensity of default. The effectiveness of these corrections is tested on the bond price and yield curve by investigating the behavior of the time scales with respect to the relevant parameters.
Keyword
Multiple time scales; Asymptotic analysis; Credit Derivatives
Journal Title
Journal of applied mathematics (JAM)
ISSN
1110-757x
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Appears in Collections:
7. KISTI 연구성과 > 학술지 발표논문
URI
https://repository.kisti.re.kr/handle/10580/14356
http://www.ndsl.kr/ndsl/search/detail/article/articleSearchResultDetail.do?cn=NART80210174
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