Name
Abstract | ||
|---|---|---|
We propose a new methodology for the calibration of a hybrid credit-equity model to credit default swap (CDS) spreads and survival probabilities. We consider an extended Jump to Default Constant Elasticity of Variance model incorporating stochastic and possibly negative interest rates. Our approach is based on a perturbation technique that provides an explicit asymptotic expansion of the CDS spreads. The robustness and efficiency of the method is confirmed by several calibration tests on real market data. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1080/00207160.2018.1512104 | INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS |
Keywords | Field | DocType |
Credit default swap, hybrid credit-equity model, constant elasticity of variance model, asymptotic expansion | Applied mathematics,Credit default swap,Mathematical optimization,Interest rate,Asymptotic expansion,Robustness (computer science),Jump,Calibration,Mathematics,Constant elasticity of variance model,Perturbation (astronomy) | Journal |
Volume | Issue | ISSN |
96 | 9 | 0020-7160 |
Citations | PageRank | References |
0 | 0.34 | 4 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Marco Di Francesco | 1 | 53 | 12.10 |
| Sidy Diop | 2 | 0 | 0.34 |
| Andrea Pascucci | 3 | 34 | 9.05 |