Defaultable bond pricing under the jump diffusion model with copula dependence structure

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Defaultable bond pricing under the jump diffusion model with copula dependence structure

We study the pricing of a defaultable bond under various dependence structure captured by copulas. For that purpose, we use a bivariate jump-diffusion process to represent a bond issuer’s default intensity and the market short rate of interest. We assume that each jump of both variables occur simu...

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Bibliographic Details
Main Authors:	Siti Norafidah Mohd Ramli, Jang, Jiwook
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2020
Online Access:	http://journalarticle.ukm.my/15365/ http://journalarticle.ukm.my/15365/1/23.pdf

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