Valuation of Game Swaptions under the Generalized Ho-Lee Model

Valuation of Credit Default Swaptions and Credit Default Index Swaptions

Valuation of credit default swaps and swaptions

This paper presents a conceptual framework for valuation of single-name credit derivatives, and recuperates, in some cases generalizing, a few of known results in credit risk theory. Valuation is viewed with respect to a given state price density and relative to a general numeraire. Default probabilities and recoveries are considered as processes adapted to a subfiltration, following Jeanblanc ...

Valuation of Credit Default Swap and Swaptions

This paper presents a conceptual framework for valuation of single-name credit derivatives, and recuperates, in some cases generalizing, a few of known results in credit risk theory. Valuation is viewed with respect to a given state price and relative to a general numeraire. Survival probabilities and default recoveries are considered as processes adapted to a subfiltration, following Jeanblanc...

Optimal Investment and Consumption Decisions Under the Ho-Lee Interest Rate Model

In this paper, we consider an investment and consumption problem with stochastic interest rate, in which risk-free interest rate dynamics is driven by the Ho-Lee model,while risky asset price is supposed to follow a geometric Brownian motion and be correlated with interest rate dynamics. Our goal is to seek an optimal investment and consumption strategy to maximize the expected discounted utili...

The Valuation of American-style Swaptions in a Two-factor Spot-Futures Model

The Valuation of American-style Swaptions in a Two-factor Spot-Futures Model. We build a no-arbitrage model of the term structure of interest rates using two stochastic factors, the short-term interest rate and the premium of the futures rate over the shortterm interest rate. The model provides an extension of the lognormal interest rate model of Black and Karasinski (1991) to two factors, both...