A polynomial diffusion model with quadratic spot prices yields explicit long-term electricity forward prices, risk premia, and a liquidity-aware risk-minimizing rolling hedge, calibrated to German calendar-year data.
Linear Credit Risk Models
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
abstract
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS option can be uniformly approximated by polynomials in the factors. Multi-name models can produce simultaneous defaults, generate positively as well as negatively correlated default intensities, and accommodate stochastic interest rates. A calibration study illustrates the versatility of these models by fitting CDS spread time series. A numerical analysis validates the efficiency of the option price approximation method.
fields
q-fin.MF 1years
2019 1verdicts
ACCEPT 1representative citing papers
citing papers explorer
-
A multi-factor polynomial framework for long-term electricity forwards with delivery period
A polynomial diffusion model with quadratic spot prices yields explicit long-term electricity forward prices, risk premia, and a liquidity-aware risk-minimizing rolling hedge, calibrated to German calendar-year data.