Credit derivatives pricing with default density term structure modelled by Lévy random fields - Archive ouverte HAL
Article Dans Une Revue Stochastic Analysis and Applications Année : 2014

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

Résumé

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.
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Dates et versions

hal-00651397 , version 1 (13-12-2011)

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Lijun Bo, Ying Jiao, Xuewei Yang. Credit derivatives pricing with default density term structure modelled by Lévy random fields. Stochastic Analysis and Applications, 2014, 32 (2), pp.229-252. ⟨hal-00651397⟩

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