EL-Mohammadi, Rachid (2009): BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk.
Preview |
PDF
MPRA_paper_42781.pdf Download (231kB) | Preview |
Abstract
We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk |
| Language: | English |
| Keywords: | Quanto CDS, Devaluation Risk, Model with Jump, Lognormal hazard rate model, Calibration, Forward PDE, Pricing quanto survival probablity |
| Subjects: | C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling C - Mathematical and Quantitative Methods > C0 - General C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods F - International Economics > F3 - International Finance > F31 - Foreign Exchange C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General |
| Item ID: | 42781 |
| Depositing User: | Rachid EL-Mohammadi |
| Date Deposited: | 28 Nov 2012 13:14 |
| Last Modified: | 27 Sep 2019 07:01 |
| References: | T.R.Bielecki, M.Jeanblanc, M.Rutkowski, Pricing And Trading credit default swaps in a hazard process model. December-2007 M.Jeanblanc, Y.L.Cam, Reduced form modelling for credit risk. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/42781 |
All papers reproduced by permission. Reproduction and distribution subject to the approval of the copyright owners.
 |
View Item |
