A simulation environment for discontinuous portfolio value processes

DOI10.1002/ASMB.430zbMath0967.91018OpenAlexW2006430533MaRDI QIDQ2722288

Antonio Di Cesare, Giorgio Consigli

Publication date: 11 July 2001

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.430

zbMATH Keywords

value-at-riskdefault riskrisk-neutral pricingcredit-spread curvejump- diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

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• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Martingale Analysis for Assets with Discontinuous Returns
• Option pricing when underlying stock returns are discontinuous

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