3 papers
q-fin.PR2012
A Semi-Markov Modulated Interest Rate Model
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated…
q-fin.PR2012
Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Giovanni Salvi, Anatoliy V. Swishchuk
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility…
math.PR2011
Bivariate Semi-Markov Process for Counterparty Credit Risk
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
We consider the problem of constructing an appropriate multivariate model for the study of the counterparty credit risk in credit rating migration problem. For this financial probl…