TY - GEN
T1 - Pricing Credit Derivatives in a Wiener-Hopf Framework
AU - Marazzina, Daniele
AU - Fusai, Gianluca
AU - Germano, Guido
PY - 2012
Y1 - 2012
N2 - We present fast and accurate pricing techniques for credit-derivative contracts when discrete monitoring is applied and the underlying evolves according to an exponential Lévy process. Our pricing approaches are based on the Wiener-Hopf factorization, and their computational cost is independent of the number of monitoring dates. Numerical results are presented in order to validate the pricing algorithm. Moreover, an analysis on the sensitivity of the probability of default and the credit spread term structures with respect to the process parameters is considered.
AB - We present fast and accurate pricing techniques for credit-derivative contracts when discrete monitoring is applied and the underlying evolves according to an exponential Lévy process. Our pricing approaches are based on the Wiener-Hopf factorization, and their computational cost is independent of the number of monitoring dates. Numerical results are presented in order to validate the pricing algorithm. Moreover, an analysis on the sensitivity of the probability of default and the credit spread term structures with respect to the process parameters is considered.
UR - http://www.scopus.com/inward/record.url?scp=84892461652&partnerID=8YFLogxK
U2 - 10.1007/978-1-4614-3433-7_8
DO - 10.1007/978-1-4614-3433-7_8
M3 - Conference contribution
SN - 9781461434320
T3 - Springer Proceedings in Mathematics and Statistics
SP - 139
EP - 154
BT - Topics in Numerical Methods for Finance
PB - Springer New York LLC
ER -