Structural credit risk modelling with Hawkes jump diffusion processes

DOI10.1016/J.CAM.2016.02.032zbMath1335.91097OpenAlexW2326216612MaRDI QIDQ269364

Weidong Xu, Yong Ma

Publication date: 18 April 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.02.032

zbMATH Keywords

default clusteringdefault correlationHawkes processjump clustering

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (9)

Pricing and hedging foreign equity options under Hawkes jump-diffusion processes ⋮ Time-consistent evaluation of credit risk with contagion ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes ⋮ Clustering Effects via Hawkes Processes ⋮ Exchange options under clustered jump dynamics ⋮ A Structural Approach to Default Modelling with Pure Jump Processes ⋮ Valuation of equity-indexed annuities under correlated jump-diffusion processes ⋮ Pricing power exchange options with Hawkes jump diffusion processes

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