Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: An exact formula for default swaptions' pricing in the SSRJD stochastic
  intensity model   We develop and test a fast and accurate semi-analytical formula for
single-name default swaptions in the context of a shifted square root jump
diffusion (SSRJD) default intensity model. The model can be calibrated to the
CDS term structure and a few default swaptions, to price and hedge other credit
derivatives consistently. We show with numerical experiments that the model
implies plausible volatility smiles.

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The categories of this paper are: eess
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The categories of this paper are: q-alg
33
The categories of this paper are: plasm-ph
9
The categories of this paper are: nlin
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The categories of this paper are: dg-ga
2
The categories of this paper are: math
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The categories of this paper are: econ
34
The categories of this paper are: chem-ph
5
The categories of this paper are: gr-qc
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The categories of this paper are: chao-dyn
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The categories of this paper are: bayes-an
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The categories of this paper are: math-ph
32
The categories of this paper are: atom-ph
3
The categories of this paper are: physics
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The categories of this paper are: stat
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The categories of this paper are: adap-org