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Pricing Credit Derivatives in a Wiener–Hopf Framework

  • Daniele MarazzinaEmail author
  • Gianluca Fusai
  • Guido Germano
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 19)

Abstract

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.

Keywords

Term Structure Credit Default Swap Default Probability Credit Spread Underlying Asset 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2012

Authors and Affiliations

  • Daniele Marazzina
    • 1
    Email author
  • Gianluca Fusai
    • 2
    • 3
  • Guido Germano
    • 4
  1. 1.Department of Mathematics F. BrioschiPolitecnico di MilanoMilanoItaly
  2. 2.Department of Economics and Business Studies (DiSEI)Università degli Studi del Piemonte Orientale A. AvogadroNovaraItaly
  3. 3.Department of FinanceCass Business SchoolLondonUK
  4. 4.Dipartimento of Economics and Business Studies (DiSEI)Università degli Studi del Piemonte Orientale A. AvogadroNovaraItaly

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