COVID-19 and credit risk: A long memory perspective

J Yin, B Han, HY Wong - Insurance: Mathematics and Economics, 2022 - Elsevier
The COVID-19 pandemic shows significant impacts on credit risk, which is the key concern
of corporate bond holders such as insurance companies. Credit risk, quantified by agency …

[HTML][HTML] Affine representations of fractional processes with applications in mathematical finance

P Harms, D Stefanovits - Stochastic Processes and their Applications, 2019 - Elsevier
Fractional processes have gained popularity in financial modeling due to the dependence
structure of their increments and the roughness of their sample paths. The non-Markovianity …

Conditional distributions of processes related to fractional Brownian motion

H Fink, C Klüppelberg, M Zähle - Journal of applied probability, 2013 - cambridge.org
Conditional distributions for affine Markov processes are at the core of present (defaultable)
bond pricing. There is, however, evidence that Markov processes may not be realistic …

The closed-form option pricing formulas under the sub-fractional Poisson volatility models

XT Wang, ZJ Yang, PY Cao, SL Wang - Chaos, Solitons & Fractals, 2021 - Elsevier
A new fractional process called the sub-fractional Poisson process NH (t) is proposed, which
has continuous sample paths, long-memory, leptokurtosis and heavy tail distribution, is of …

European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate

J Guo, Y Wang, W Kang - Communications in Statistics-Simulation …, 2024 - Taylor & Francis
With the development of financial markets, the trading of financial derivatives has become
more flexible. To meet the demands of investors, over-the-counter (OTC) trading of options …

Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk

H Fink - Journal of Applied Probability, 2013 - cambridge.org
Molchan-Golosov fractional Lévy processes (MG-FLPs) are introduced by way of a
multivariate componentwise Molchan-Golosov transformation based on an n-dimensional …

A short rate model using ambit processes

JM Corcuera, G Farkas, W Schoutens… - Malliavin calculus and …, 2013 - Springer
In this article, we study a bond market where short rates evolve as r_ t=\displaystyle ∫ _-∞^
tg (ts) σ _ s W (ds) where g:(0, ∞) → R is deterministic, σ≥ 0 is also deterministic, and W is …

Bond portfolio optimization with long-range dependent credits

J Yin, HY Wong - Journal of Industrial and Management …, 2023 - aimsciences.org
Consider the optimal allocation between money market account and corporate bond fund.
While the money market account is free of credit risk, corporate bonds are defaultable and …

Modeling credit risk with mixed fractional Brownian motion: An application to barrier options

J Hussain, M Ali - Nonlinear Engineering, 2024 - degruyter.com
This article aims to examine the pricing of debt and equity in the context of credit risk
structural models, where the value of a company's assets is influenced by mixed fractional …

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

JPN Bishwal - Algorithmic Finance, 2023 - content.iospress.com
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model - IOS Press You are viewing
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