A Stochastic maximum principle for mean-field models with jumps and its application to finance

Siti Norafidah Mohdramli

Research output: Contribution to journalMeeting abstract

Abstract

Purpose: To provide a bond pricing framework that allows for dependency between the interest rate and default intensity processes which are assumed to follow mean-reverting jump diffusion processes.
Original languageEnglish
Pages (from-to)56
Number of pages1
JournalExpo 2012 Higher Degree Research : book of abstracts
Publication statusPublished - 2012
EventHigher Degree Research Expo (8th : 2012) - Sydney
Duration: 12 Nov 201213 Nov 2012

Keywords

  • Jump diffusion processes
  • Default intensity
  • Cox process
  • Copulas
  • Corporate bond pricing

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