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The pricing of credit risky securities under stochastic interest rate model with default correlation

Anjiao Wang; Zhong Xing Ye — 2013

Applications of Mathematics

In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of measure and...

A local convergence theorem for partial sums of stochastic adapted sequences

Wei Guo Yang; Zhong Xing Ye; Liu, Wen — 2006

Czechoslovak Mathematical Journal

In this paper we establish a new local convergence theorem for partial sums of arbitrary stochastic adapted sequences. As corollaries, we generalize some recently obtained results and prove a limit theorem for the entropy density of an arbitrary information source, which is an extension of case of nonhomogeneous Markov chains.

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