Asymptotic Analysis for One-Name Credit Derivatives | Zendy

YongKi Ma | Zendy; Beom Jin Kim | Zendy

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Asymptotic Analysis for One-Name Credit Derivatives

Author(s) -

YongKi Ma,

Beom Jin Kim

Publication year - 2013

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2013/567340

Subject(s) - bond , mathematics , volatility (finance) , coupon , credit default swap , bond valuation , credit derivative , stochastic volatility , econometrics , interest rate , credit risk , economics , actuarial science , monetary economics , finance

We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of interest rate process. Perturbations from the stochastic volatility are computed by using an asymptotic analysis. We also study the sensitive properties of the defaultable bond prices and the yield curves

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