CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION

DOI10.1142/S0219024909005646zbMath1182.91188arXiv0904.2376OpenAlexW2084547039MaRDI QIDQ3400133

T. R. Hurd

Publication date: 5 February 2010

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

Full work available at URL: https://arxiv.org/abs/0904.2376

zbMATH Keywords

first passage timeLévy processcredit risktime changedefault probabilitycredit derivativestructural credit model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (17)

Structural credit risk modelling with Hawkes jump diffusion processes ⋮ The randomized first-hitting problem of continuously time-changed Brownian motion ⋮ Collective behaviors of stochastic agent-based models and applications to finance and optimization ⋮ Modeling stochastic mortality for joint lives through subordinators ⋮ A note on first-passage times of continuously time-changed Brownian motion ⋮ Efficiently pricing double barrier derivatives in stochastic volatility models ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ Clustered Lévy processes and their financial applications ⋮ First-passage times of regime switching models ⋮ CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS ⋮ Extended Black and Scholes model under bankruptcy risk ⋮ A mathematical model for multi-name credit based on community flocking ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ On the First Passage time for Brownian Motion Subordinated by a Lévy Process ⋮ Some characterizations for Brownian motion with Markov switching ⋮ EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

Uses Software

• QRM

Cites Work

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• Time Changes for Lévy Processes
• Fluctuation theory in continuous time
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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