{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T10:42:51Z","timestamp":1740134571883,"version":"3.37.3"},"reference-count":19,"publisher":"Wiley","license":[{"start":{"date-parts":[[2014,1,1]],"date-time":"2014-01-01T00:00:00Z","timestamp":1388534400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"funder":[{"DOI":"10.13039\/501100003708","name":"Korea Institute of Science and Technology Information","doi-asserted-by":"publisher","award":["K-14-L06-C14-S01"],"award-info":[{"award-number":["K-14-L06-C14-S01"]}],"id":[{"id":"10.13039\/501100003708","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics"],"published-print":{"date-parts":[[2014]]},"abstract":"<jats:p>We propose approximate solutions for pricing zero-coupon defaultable bonds, credit default swap rates, and bond options based on the averaging principle of stochastic differential equations. We consider the intensity-based defaultable bond, where the volatility of the default intensity is driven by multiple time scales. Small corrections are computed using regular and singular perturbations to the intensity of default. The effectiveness of these corrections is tested on the bond price and yield curve by investigating the behavior of the time scales with respect to the relevant parameters.<\/jats:p>","DOI":"10.1155\/2014\/968065","type":"journal-article","created":{"date-parts":[[2014,8,21]],"date-time":"2014-08-21T19:24:23Z","timestamp":1408649063000},"page":"1-12","source":"Crossref","is-referenced-by-count":0,"title":["Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model"],"prefix":"10.1155","volume":"2014","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8202-7973","authenticated-orcid":true,"given":"Beom Jin","family":"Kim","sequence":"first","affiliation":[{"name":"Department of Mathematics, Yonsei University, Seoul 120-749, Republic of Korea"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Chan Yeol","family":"Park","sequence":"additional","affiliation":[{"name":"Korea Institute of Science and Technology Information (KISTI), 245 Daehak-ro, Yuseong-gu, Daejeon 305-806, Republic of Korea"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yong-Ki","family":"Ma","sequence":"additional","affiliation":[{"name":"Department of Applied Mathematics, Kongju National University, Chungcheongnam-do 314-701, Republic of Korea"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","reference":[{"key":"1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.687"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05167.x"},{"issue":"2-3","key":"3","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1007\/BF01531332","volume":"2","year":"1998","journal-title":"Review of Derivatives Research"},{"key":"4","first-page":"161","volume":"2","year":"1998","journal-title":"Review of Derivatives Research"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.197"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1080\/14697680903382768"},{"key":"7","doi-asserted-by":"publisher","DOI":"10.1080\/13504860600658943"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1080\/13504860701352222"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781139020534"},{"key":"10","first-page":"449","volume":"29","year":"1974","journal-title":"Journal of Finance"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1137\/030600291"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1080\/13504860600563127"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"14","doi-asserted-by":"publisher","DOI":"10.1080\/14697680600727547"},{"year":"2000","key":"15"},{"year":"2003","key":"16"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"year":"2003","key":"18"},{"key":"19","doi-asserted-by":"publisher","DOI":"10.1137\/S0036139902401550"}],"container-title":["Journal of Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2014\/968065.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2014\/968065.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2014\/968065.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2017,6,22]],"date-time":"2017-06-22T15:09:42Z","timestamp":1498144182000},"score":1,"resource":{"primary":{"URL":"http:\/\/www.hindawi.com\/journals\/jam\/2014\/968065\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014]]},"references-count":19,"alternative-id":["968065","968065"],"URL":"https:\/\/doi.org\/10.1155\/2014\/968065","relation":{},"ISSN":["1110-757X","1687-0042"],"issn-type":[{"type":"print","value":"1110-757X"},{"type":"electronic","value":"1687-0042"}],"subject":[],"published":{"date-parts":[[2014]]}}}