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2013 Asymptotic Analysis for One-Name Credit Derivatives
Yong-Ki Ma, Beom Jin Kim
Abstr. Appl. Anal. 2013: 1-9 (2013). DOI: 10.1155/2013/567340


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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Yong-Ki Ma. Beom Jin Kim. "Asymptotic Analysis for One-Name Credit Derivatives." Abstr. Appl. Anal. 2013 1 - 9, 2013.


Published: 2013
First available in Project Euclid: 27 February 2014

zbMATH: 1291.91207
MathSciNet: MR3064398
Digital Object Identifier: 10.1155/2013/567340

Rights: Copyright © 2013 Hindawi

Vol.2013 • 2013
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