Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes

There are two parts in this thesis where both parts are self-contained. The first part of this thesis is on the valuation of dependent defaultable bonds under the assumption that the credit risk is of a reduced-form model, where the default time is defined as a single jump process. Our work is an...

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Main Author: Low, Kah Choon
Other Authors: School of Physical and Mathematical Sciences
Format: Theses and Dissertations
Language:English
Published: 2014
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Online Access:http://hdl.handle.net/10356/61352
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Institution: Nanyang Technological University
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spelling sg-ntu-dr.10356-613522023-02-28T23:31:47Z Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes Low, Kah Choon School of Physical and Mathematical Sciences Nicolas Privault Pang Zhen DRNTU::Science::Mathematics::Probability theory DRNTU::Business::Finance::Derivatives DRNTU::Engineering::Mathematics and analysis There are two parts in this thesis where both parts are self-contained. The first part of this thesis is on the valuation of dependent defaultable bonds under the assumption that the credit risk is of a reduced-form model, where the default time is defined as a single jump process. Our work is an extension of Jarrow and Yu primary-secondary framework, where the default intensity of secondary firm is correlated with both the risk-free spot interest rate and the default of primary firm. Closed form solutions are presented for the valuation of dependent defaultable bonds under Hull-White (include Vasicek) model and CIR model. The second part is on the simulation and stochastic analysis of determinantal point processes (DPP). DPP serve as a practicable modeling for many applications of repulsive point processes. A known approach for simulation was proposed in [9], which generate the perfect distribution point wise through rejection sampling. In our work, we investigate the application of perfect simulation via coupling from the past (CFTP) on DPP. We give a general framework for CFTP on DPP model. It is shown that the time-to-coalescence of the coupling is asymptotically of the order log z, where z is the initial number of configuration points of the dominating process. An application is given to the simulation of stationary models of DPP. ​Master of Science 2014-06-09T05:57:04Z 2014-06-09T05:57:04Z 2014 2014 Thesis http://hdl.handle.net/10356/61352 en 56 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Science::Mathematics::Probability theory
DRNTU::Business::Finance::Derivatives
DRNTU::Engineering::Mathematics and analysis
spellingShingle DRNTU::Science::Mathematics::Probability theory
DRNTU::Business::Finance::Derivatives
DRNTU::Engineering::Mathematics and analysis
Low, Kah Choon
Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
description There are two parts in this thesis where both parts are self-contained. The first part of this thesis is on the valuation of dependent defaultable bonds under the assumption that the credit risk is of a reduced-form model, where the default time is defined as a single jump process. Our work is an extension of Jarrow and Yu primary-secondary framework, where the default intensity of secondary firm is correlated with both the risk-free spot interest rate and the default of primary firm. Closed form solutions are presented for the valuation of dependent defaultable bonds under Hull-White (include Vasicek) model and CIR model. The second part is on the simulation and stochastic analysis of determinantal point processes (DPP). DPP serve as a practicable modeling for many applications of repulsive point processes. A known approach for simulation was proposed in [9], which generate the perfect distribution point wise through rejection sampling. In our work, we investigate the application of perfect simulation via coupling from the past (CFTP) on DPP. We give a general framework for CFTP on DPP model. It is shown that the time-to-coalescence of the coupling is asymptotically of the order log z, where z is the initial number of configuration points of the dominating process. An application is given to the simulation of stationary models of DPP.
author2 School of Physical and Mathematical Sciences
author_facet School of Physical and Mathematical Sciences
Low, Kah Choon
format Theses and Dissertations
author Low, Kah Choon
author_sort Low, Kah Choon
title Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
title_short Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
title_full Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
title_fullStr Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
title_full_unstemmed Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
title_sort valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
publishDate 2014
url http://hdl.handle.net/10356/61352
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