Search Results - subject:"Black–Karasinski model"

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A path-integral approximation for non-linear diffusions

Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36

Persistent link: https://www.econbiz.de/10012194852

Non-linear Gaussian sovereign CDS pricing models

Realdon, Marco - In: Quantitative finance 19 (2019) 2, pp. 191-210

Persistent link: https://www.econbiz.de/10012194648

Tests of non linear Gaussian term structure models

Realdon, Marco - In: Journal of international financial markets, … 44 (2016), pp. 128-147

Persistent link: https://www.econbiz.de/10011690399

NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES

NG, LESLIE - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350049-1

In this work, we present some numerical procedures for a wrong way risk model that can be used for credit value adjustment (CVA) calculations. We look at a model that uses a multi-factor Hull–White model for interest rates and a single-factor lognormal Black–Karasinski default intensity...

Persistent link: https://www.econbiz.de/10010734707

Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates

Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33

Persistent link: https://www.econbiz.de/10010243617

Approximate Formulas for Zero-coupon Bonds

Tourrucoo, Fabricio; Hagan, Patrick S.; Schleiniger, … - In: Applied Mathematical Finance 14 (2007) 3, pp. 207-226

Using perturbation methods, approximate formulas are obtained for zero-coupon bonds under the generalized Black-Karasinski … model. The formulas perform well regarding accuracy and calibration to available data. For a special case, which corresponds …

Persistent link: https://www.econbiz.de/10005495363