BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.

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Year of publication:	2009-10
Authors:	EL-Mohammadi, Rachid
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Quanto CDS \| Devaluation Risk \| Model with Jump \| Lognormal hazard rate model \| Calibration \| Forward PDE \| Pricing quanto survival probablity

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C6 - Mathematical Methods and Programming ; C0 - Mathematical and Quantitative Methods. General ; C02 - Mathematical Methods ; F31 - Foreign Exchange ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011108261