scholarly journals DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL

2013 ◽  
Vol 31 (5_6) ◽  
pp. 711-732 ◽  
Author(s):  
Stephane Goutte ◽  
Armand Ngoupeyou
Keyword(s):  
Regime Switching ◽  
Bond Pricing ◽  
Defaultable Bond ◽  
Intensity Model

scholarly journals Regime Switching and Bond Pricing

2013 ◽  
Vol 12 (2) ◽  
pp. 237-277 ◽  
Author(s):  
C. Gourieroux ◽  
A. Monfort ◽  
F. Pegoraro ◽  
J.-P. Renne
Keyword(s):  
Regime Switching ◽  
Bond Pricing

Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

2008 ◽  
Vol 15 (3) ◽  
pp. 219-249 ◽  
Author(s):  
S. Antes ◽  
M. Ilg ◽  
B. Schmid ◽  
R. Zagst
Keyword(s):  
Empirical Evaluation ◽  
Bond Pricing ◽  
Pricing Models ◽  
Defaultable Bond

scholarly journals Pricing Convertible Bonds with Credit Risk under Regime Switching and Numerical Solutions

2014 ◽  
Vol 2014 ◽  
pp. 1-13
Author(s):  
Wei-Guo Zhang ◽  
Ping-Kang Liao
Keyword(s):  
Credit Risk ◽  
Regime Switching ◽  
Numerical Solutions ◽  
Dilution Effect ◽  
Convertible Bonds ◽  
Bond Pricing ◽  
Convertible Bond ◽  
Pricing Model ◽  
Black Scholes ◽  
The Impact

This paper discusses the convertible bonds pricing problem with regime switching and credit risk in the convertible bond market. We derive a Black-Scholes-type partial differential equation of convertible bonds and propose a convertible bond pricing model with boundary conditions. We explore the impact of dilution effect and debt leverage on the value of the convertible bond and also give an adjustment method. Furthermore, we present two numerical solutions for the convertible bond pricing model and prove their consistency. Finally, the pricing results by comparing the finite difference method with the trinomial tree show that the strength of the effect of regime switching on the convertible bond depends on the generator matrix or the regime switching strength.

A regime-switching model with jumps and its application to bond pricing and insurance

2016 ◽  
Vol 16 (06) ◽  
pp. 1650023 ◽  
Author(s):  
Yinghui Dong ◽  
Guojing Wang ◽  
Kam Chuen Yuen
Keyword(s):  
Regime Switching ◽  
Bond Pricing ◽  
Martingale Method ◽  
Cox Process ◽  
Regime Switching Model ◽  
Switching Model ◽  
Shot Noise Process ◽  
Markovian Regime Switching ◽  
Coupon Bond ◽  
Arrival Intensity

In this paper, we consider a Markovian, regime-switching model with jumps and its application to bond pricing and insurance. The jumps in the model are described by a compound Cox process, where the arrival intensity of the counting number-process follows a regime-switching shot noise process. Using a martingale method, we derive exponential-affine form expressions for the price of a zero-coupon bond and the joint Laplace transform of the aggregate accumulated claims and the arrival intensity.

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