An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

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dc.creatorBrigo, Damiano
dc.creatorEl-Bachir, Naoufel
dc.date2008-12-22
dc.date.accessioned2026-07-07T12:21:14Z
dc.date.available2026-07-07T12:21:14Z
dc.descriptionWe develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure and a few default swaptions, to price and hedge other credit derivatives consistently. We show with numerical experiments that the model implies plausible volatility smiles.
dc.descriptionAccepted for publication in Mathematical Finance
dc.identifierhttps://arxiv.org/abs/0812.4199
dc.identifierhttp://arxiv.org/abs/0812.4199
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/213300
dc.subjectPricing of Securities
dc.titleAn exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
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