CDS index options in Markov chain models


We study CDS index options in a credit risk model where default times have intensities which are driven by a finite-state Markov chain representing the underlying economy. In this setting, we derive computational tractable... [ view full abstract ]


  1. Alexander Herbertsson (University of Gothenburg)

Topic Areas

Credit Risk , Computational Finance , Options


TU-A-B2 » Credit Risk 1 (11:30 - Tuesday, 17th July, Beckett 2)

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