Advanced search
Publication Cover
Applied Mathematical Finance Volume 15, 2008 - Issue 1
Submit an article Journal homepage
130
Views
30
CrossRef citations to date
0
Altmetric
PAPERS

Multiscale Intensity Models for Single Name Credit DerivativesFootnote

E. Papageorgiou Department of Operations Research & Financial Engineering, Princeton University, Princeton, NJCorrespondence[email protected]
&
R. Sircar Department of Operations Research & Financial Engineering, Princeton University, Princeton, NJ
Pages 73-105 | Received 28 Jun 2006, Published online: 18 Dec 2007

Citations (30)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Evan Papageorgiou & Ronnie Sircar. (2009) Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives. Applied Mathematical Finance 16:4, pages 353-383.
Read now

Articles from other publishers (29)

Jean-Pierre Fouque, Sebastian Jaimungal & Yuri F. Saporito. (2022) Optimal Trading with Signals and Stochastic Price Impact. SIAM Journal on Financial Mathematics 13:3, pages 944-968.
Crossref
Shican Liu, Yanli Zhou, Benchawan Wiwatanapataphee, Yonghong Wu & Xiangyu Ge. (2018) The Study of Utility Valuation of Single-Name Credit Derivatives with the Fast-Scale Stochastic Volatility Correction. Sustainability 10:4, pages 1027.
Crossref
Alessandro Andreoli, Luca Vincenzo Ballestra & Graziella Pacelli. (2016) Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. Computational Economics 51:3, pages 379-406.
Crossref
Shican Liu & Xiangyu Ge. (2016) The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility. The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility.
Enrico Bernardi & Silvia Romagnoli. (2016) Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application. International Journal of Information Technology & Decision Making 15:02, pages 285-310.
Crossref
Kay Giesecke, Baeho Kim, Jack Kim & Gerry Tsoukalas. (2014) Optimal Credit Swap Portfolios. Management Science 60:9, pages 2291-2307.
Crossref
Beom Jin Kim, Chan Yeol Park & Yong-Ki Ma. (2014) Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model. Journal of Applied Mathematics 2014, pages 1-12.
Crossref
Yong-Ki Ma & Beom Jin Kim. (2013) Asymptotic Analysis for One-Name Credit Derivatives. Abstract and Applied Analysis 2013, pages 1-9.
Crossref
Sun-Hwa Cho, Jeong-Hoon Kim & Yong-Ki Ma. (2013) Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds. Journal of Applied Mathematics 2013, pages 1-9.
Crossref
Shaojie Deng, Kay Giesecke & Tze Leung Lai. (2012) Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk. Operations Research 60:1, pages 78-91.
Crossref
Kay Giesecke, Baeho Kim & Shilin Zhu. (2011) Monte Carlo Algorithms for Default Timing Problems. Management Science 57:12, pages 2115-2129.
Crossref
Erhan Bayraktar & Bo Yang. (2011) A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES. Mathematical Finance 21:3, pages 493-517.
Crossref
Kay Giesecke, Lisa R. Goldberg & Xiaowei Ding. (2011) A Top-Down Approach to Multiname Credit. Operations Research 59:2, pages 283-300.
Crossref
SHUICHI OHSAKI & AKIRA YAMAZAKI. (2011) STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS. International Journal of Theoretical and Applied Finance 14:02, pages 239-264.
Crossref
Kay Giesecke & Baeho Kim. (2011) Risk Analysis of Collateralized Debt Obligations. Operations Research 59:1, pages 32-49.
Crossref
Shuichi Ohsaki, Takaaki Ozeki, Yuji Umezawa & Akira Yamazaki. (2010) A note on the Black–Scholes implied volatility with default risk. Wilmott Journal 2:3, pages 155-170.
Crossref
K. Giesecke, H. Kakavand, M. Mousavi & H. Takada. (2010) Exact and Efficient Simulation of Correlated Defaults. SIAM Journal on Financial Mathematics 1:1, pages 868-896.
Crossref
Martino Bardi, Annalisa Cesaroni & Luigi Manca. (2010) Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility. SIAM Journal on Financial Mathematics 1:1, pages 230-265.
Crossref
Dror Givon & Ioannis G. Kevrekidis. (2008) Multiscale Integration Schemes for Jump-Diffusion Systems. Multiscale Modeling & Simulation 7:2, pages 495-516.
Crossref
Evan Papageorgiou & Ronnie Sircar. (2007) Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives. SSRN Electronic Journal.
Crossref
Antonio Castagna, Fabio Mercurio & Paola Mosconi. (2012) Analytical Pricing of CDOs in a Multi-Factor Setting by a Moment Matching Approach. SSRN Electronic Journal.
Crossref
Kay Giesecke, Baeho Kim & Shilin Zhu. (2010) Monte Carlo Algorithms for Default Timing Problems. SSRN Electronic Journal.
Crossref
Shaojie Deng, Kay Giesecke & Tze Lai. (2010) Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk. SSRN Electronic Journal.
Crossref
Wael H. Fayyad. (2009) Option Valuation Using Asymptotic Expansion. SSRN Electronic Journal.
Crossref
Kay Giesecke, Hossein Kakavand, Mohammad Hossein Mousavi & Hideyuki Takada. (2010) Exact and Efficient Simulation of Correlated Defaults. SSRN Electronic Journal.
Crossref
Kay Giesecke & Jack Kim. (2009) Fixed-Income Portfolio Selection. SSRN Electronic Journal.
Crossref
Kay Giesecke & Baeho Kim. (2009) Risk Analysis of Collateralized Debt Obligations. SSRN Electronic Journal.
Crossref
Kay Giesecke. (2009) An Overview of Credit Derivatives. SSRN Electronic Journal.
Crossref
Kay Giesecke, Lisa R. Goldberg & Xiaowei Ding. (2009) A Top-Down Approach to Multi-Name Credit. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.