LÉVY SIMPLE STRUCTURAL MODELS

DOI10.1142/S021902490700438XzbMath1291.91218OpenAlexW2124689651MaRDI QIDQ5169976

Martin Baxter

Publication date: 17 July 2014

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

Full work available at URL: https://doi.org/10.1142/s021902490700438x

zbMATH Keywords

Lévy processgamma processCDO pricingstructural credit model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Credit risk (91G40)

Related Items (12)

Structural credit risk modelling with Hawkes jump diffusion processes ⋮ Dam rain and cumulative gain ⋮ JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS ⋮ Pricing of CDOs based on the multivariate Wang transform ⋮ General theory of geometric Lévy models for dynamic asset pricing ⋮ MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS ⋮ NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ Efficient solution of structural default models with correlated jumps and mutual obligations ⋮ Calibration of financial models using quasi-Monte Carlo ⋮ A multivariate Lévy process model with linear correlation ⋮ Lévy information and the aggregation of risk aversion

Cites Work

• Unnamed Item
• Lévy Processes and Stochastic Calculus
• The Variance Gamma Process and Option Pricing

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