Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes

DOI10.1137/110827132zbMath1290.91174arXiv1006.2012OpenAlexW2176051485MaRDI QIDQ2873143

Zorana Grbac, Thorsten Schmidt, Ernst Eberlein

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2012

zbMATH Keywords

extended Kalman filtermarket modelaffine processesLibor ratecollateralized debt obligationsloss processdiscrete tenorESBiTraxxsingle tranche CDOtime-inhomogeneous Lévy processestop-down model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Signal detection and filtering (aspects of stochastic processes) (60G35) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Credit risk (91G40)

Related Items

OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS