Sato Processes in Default Modelling

DOI10.1080/13504860903357292zbMath1201.91216OpenAlexW2065449236MaRDI QIDQ3063871

Elisa Nicolato, Thomas Kokholm

Publication date: 15 December 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903357292

zbMATH Keywords

credit default swaptime-changed Lévy processreduced form modelSato processcumulative hazard

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18) Credit risk (91G40)

Related Items

Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes, A tractable LIBOR model with default risk, Multivariate tempered stable additive subordination for financial models, Linear credit risk models, MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS, Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk, An intensity model for credit risk with switching Lévy processes

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