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 …

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 for affine Markov processes are at the core of present (defaultable)
bond pricing. There is, however, evidence that Markov processes may not be realistic …

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 …

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 …

Molchan-Golosov fractional Lévy processes (MG-FLPs) are introduced by way of a
multivariate componentwise Molchan-Golosov transformation based on an n-dimensional …

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 …

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 …

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 - IOS Press You are viewing
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