Pages that link to "Item:Q2256412"
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The following pages link to Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions (Q2256412):
Displaying 5 items.
- A structural jump-diffusion model for pricing collateralized debt obligations tranches (Q716531) (← links)
- First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise (Q2191844) (← links)
- Notes on exact and semi-exact Lévy models for the valuation of CDOs (Q2786348) (← links)
- Pricing collateralized debt obligations with Markov-modulated Poisson processes (Q2866389) (← links)
- A contagion process with self-exciting jumps in credit risk applications (Q6104946) (← links)