TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING |
scientific article |
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TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (English)
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15 October 2010
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default
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credit spread
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corporate bonds
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equity derivatives
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credit derivatives
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implied volatility skew
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CEV model
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JDCEV model
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Lévy subordinators
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time change
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jump-diffusion process
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state dependent Lévy measures
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credit-equity model
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