Displaying similar documents to “Pricing participating products under a generalized jump-diffusion model.”

Pricing bonds and CDS in the model with rating migration induced by a Cox process

Jacek Jakubowski, Mariusz Niewęgłowski (2008)

Banach Center Publications

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We investigate the properties of a rating migration process assuming that it is given by subordination of a discrete time Markov chain and a Cox process. The problem of pricing of defaultable bonds with fractional recovery of par value with rating migration and credit default swaps is considered. As an example of applications of our results, we give an explicit solution to the pricing problem in a model with short rate and intensity processes given by the solution of a two-dimensional...

Spatio-temporal modelling of a Cox point process sampled by a curve, filtering and Inference

Blažena Frcalová, Viktor Beneš (2009)

Kybernetika

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The paper deals with Cox point processes in time and space with Lévy based driving intensity. Using the generating functional, formulas for theoretical characteristics are available. Because of potential applications in biology a Cox process sampled by a curve is discussed in detail. The filtering of the driving intensity based on observed point process events is developed in space and time for a parametric model with a background driving compound Poisson field delimited by special test...