CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK

DOI10.1142/S0219024913500210zbMath1271.91107OpenAlexW3121166017MaRDI QIDQ2842534

Martin Hellmich, Stefan Kassberger, Wolfgang M. Schmidt

Publication date: 15 August 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500210

zbMATH Keywords

credit default swapstructural modelcredit defaultentropy-based calibrationhyper-exponential jump diffusionspectrally negative Kou process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING

Cites Work

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• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
• Modeling growth stocks via birth-death processes

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