TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

DOI10.1111/j.1467-9965.2010.00411.xzbMath1232.91692OpenAlexW3124742600MaRDI QIDQ3161734

Rafael Mendoza-Arriaga, Peter Carr, Vadim Linetsky

Publication date: 15 October 2010

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00411.x

zbMATH Keywords

defaultcredit derivativestime changecredit spreadCEV modeljump-diffusion processcorporate bondsLévy subordinatorsequity derivativesJDCEV modelimplied volatility skewcredit-equity modelstate dependent Lévy measures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

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