Efficient solution of structural default models with correlated jumps and mutual obligations

DOI10.1080/00207160.2015.1071360zbMath1335.91095arXiv1408.6513OpenAlexW1962503717MaRDI QIDQ2804497

Andrey Itkin, Alexander Lipton-Lifschitz

Publication date: 29 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.6513

zbMATH Keywords

Lévy processessplittingmatrix exponentialjoint survival probabilityPIDEmarginal survival probabilitymutual liabilitiesstructural default model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

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