STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES

DOI10.17654/FJMSMAY2015_101_119zbMath1409.91259MaRDI QIDQ3465020

Martin Gurny, Sergio Ortobelli Lozza, Chiara Brambilla

Publication date: 28 January 2016

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/9081.htm

zbMATH Keywords

Lévy processescredit riskstructural modelsdefault probabilities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Credit risk (91G40)

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