Search Results - subject:"Doubly Stochastic"

Calibrating CAT bonds for Mexican earthquakes

Härdle, Wolfgang Karl; Cabrera, Brenda López - 2007

price of a hypothetical modeled-index (zero) coupon CAT bond for earthquakes, which is based on a compound doubly stochastic …

Persistent link: https://www.econbiz.de/10010274132

Calibrating CAT bonds for Mexican earthquakes

Haerdle, Wolfgang; Cabrera, Brenda Lopez - 2007

The study of natural catastrophe models plays an important role inthe prevention and mitigation of disasters. After the occurrence of a naturaldisaster, the reconstruction can be financed with catastrophe bonds(CAT bonds) or reinsurance. This paper examines the calibration of a realparametric...

Persistent link: https://www.econbiz.de/10009445043

Calibrating CAT bonds for Mexican earthquakes

Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

price of a hypothetical modeled-index (zero) coupon CAT bond for earthquakes, which is based on a compound doubly stochastic ….3 Pricing Modeled-Index CAT bonds An index CAT bond is priced by means of the compound doubly stochastic Pois- son pricing …: (A1) There is a doubly stochastic Poisson process Ns, i.e. a Poisson process conditional on a stochastic intensity …

Persistent link: https://www.econbiz.de/10005677952

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

Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2007

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation...

Persistent link: https://www.econbiz.de/10008542369

Calibrating CAT bonds for Mexican earthquakes

Haerdle, Wolfgang; Cabrera, Brenda Lopez - European Association of Agricultural Economists - EAAE - 2007

price of a hypothetical modeled-index loss (zero) coupon CAT bond for earthquakes, which is based on the compound doubly … stochastic Poisson pricing methodology from BARYSHNIKOV, MAYO and TAYLOR (2001) and BURNECKI and KUKLA (2003). In essence, this … price of a hypothetical modeled-index loss (zero) coupon CAT bond for earthquakes, which is based on the compound doubly …

Persistent link: https://www.econbiz.de/10005320357

Non mean reverting affne processes for stochastic mortality

Luciano, Elisa; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2006

In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality …

Persistent link: https://www.econbiz.de/10005094052

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2006

We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing for inclusion of stochastic volatility...

Persistent link: https://www.econbiz.de/10005558331

A note on the risk management of CDOs

Laurent, Jean-Paul - HAL - 2006

The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such as CDS while default risk is kept under control thanks to...

Persistent link: https://www.econbiz.de/10008794771

Random walks in random environments without ellipticity

Lenci, Marco - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1750-1764

general form of the quenched Invariance Principle for walks in doubly stochastic environments with zero local drift …

Persistent link: https://www.econbiz.de/10011064991

SPDEs with polynomial growth coefficients and the Malliavin calculus method

Zhang, Qi; Zhao, Huaizhong - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2228-2271

In this paper we study the existence and uniqueness of the Lρ2p(Rd;R1)×Lρ2(Rd;Rd) valued solutions of backward doubly … stochastic differential equations (BDSDEs) with polynomial growth coefficients using weak convergence, equivalence of norm …

Persistent link: https://www.econbiz.de/10011065058