Wondering if anybody has implemented the SSRJD model calibrated to CDS options following Prof. Brigo's paper? Cheers.

<t>x is a lognormal process (with brownian motion w1). t is the default time where the hazard rate h is assumed to be a stochastic process for example lognormal (with brownian motion w2). 1{t>=T} is an indicator function whose value is 1 with probability of exp{-int(h)} and 0 otherwise. Wondering if...

use trees or lattices

Another issue is the positive shifts. Computionally it is quite complex to ensure the shifts are positive. Can we remove this condition and make the calibration easier and fast as rates are less likely to be negative?

<t>Thanks, Kyriakos. The interpretation of the parparmeters in SSRD seems to be an issue, for example, very large vols for a flat CDS curve (calibrated to CDS). Given this, do you have experience in pricing hybrid derivatives based on this model? Why should we try to make sure the shifts are positiv...

protection leg = premium leg to derive default intenstiy through which the defaul probability can be calculated straightforwd.

<t>Brigo suggests modeling credit intensity by SSRD (shifted squared root diffusion) model. It is a combination of CIR and jump model with shifts added. The advantage is the easy calibration to CDS due to the analytical formulae implied by the model. However, to fit the initial term structure of CDS...