Related papers: On Pricing Basket Credit Default Swaps
This paper examines the valuation and hedging of standard equity protection swap (EPS) products proposed by Xu et al.. To account for financial crises and counterparty default risk, we develop pricing frameworks based on Merton's…
We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…
We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a L\'{e}vy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent L\'{e}vy measure, local…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
This research attempts to model the stochastic process of trades in a limit order book market as a marked point process. We propose a semi-parametric model for the conditional distribution given the past, attempting to capture the effect of…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment…
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index. Time evolution in credit markets is assumed to…
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…
This paper investigates the distributed optimal output consensus problem of heterogeneous linear multi-agent systems over weight-unbalanced directed networks. A novel distributed continuous-time state feedback controller is proposed to…
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…
The problem of clock offset estimation in a two-way timing exchange regime is considered when the likelihood function of the observation time stamps is exponentially distributed. In order to capture the imperfections in node oscillators,…
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes. We prove the convergence of the method…
In high performance computing, scheduling of tasks and allocation to machines is very critical especially when we are dealing with heterogeneous execution costs. Simulations can be performed with a large variety of environments and…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
In the presence of multiscale dynamics in a reaction network, direct simulation methods become inefficient as they can only advance the system on the smallest scale. This work presents stochastic averaging techniques to accelerate…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
In this article, we study a robust estimation method for a general class of integer-valued time series models. The conditional distribution of the process belongs to a broad class of distribution and unlike classical autoregressive…