Jump-diffusion CIR model and its applications in credit risk | Zendy

Yongfeng Wu | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Jump-diffusion CIR model and its applications in credit risk

Author(s) -

Yongfeng Wu

Publication year - 2014

Publication title -

hacettepe journal of mathematics and statistics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.312

H-Index - 26

ISSN - 1303-5010

DOI - 10.15672/hjms.201447455

Subject(s) - mathematics , laplace transform , credit risk , jump diffusion , martingale (probability theory) , jump , piecewise , credit derivative , credit default swap , risk model , econometrics , mathematical economics , actuarial science , mathematical analysis , economics , physics , quantum mechanics

In this paper, the author discusses the distribution of the jump-diffusion CIR model (JCIR) and its applications in credit risk. Applying the piecewise deterministic Markov process theory and martingale theory, we first obtain the closed forms of the Laplace transforms for the distribution of the jump-diffusion CIR model and its integrated process. Based on the obtained Laplace transforms, we derive the pricing of the defaultable zero-coupon bond and the fair premium of a Credit Default Swap (CDS) in a reduced form model of credit risk. Some numerical calculations are also provided.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research