Details

Autor(en) / Beteiligte

• Di Francesco, Marco
• Diop, Sidy
• Pascucci, Andrea

Titel

CDS calibration under an extended JDCEV model

Ist Teil von

• International journal of computer mathematics, 2019-09, Vol.96 (9), p.1735-1751

Ort / Verlag

Taylor & Francis

Erscheinungsjahr

2019

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• We propose a new methodology for the calibration of a hybrid credit-equity model to credit default swap (CDS) spreads and survival probabilities. We consider an extended Jump to Default Constant Elasticity of Variance model incorporating stochastic and possibly negative interest rates. Our approach is based on a perturbation technique that provides an explicit asymptotic expansion of the CDS spreads. The robustness and efficiency of the method is confirmed by several calibration tests on real market data.