DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES

DOI10.1142/S0219024907004172zbMath1136.91404OpenAlexW3124936481MaRDI QIDQ5297231

Florian Huehne

Publication date: 18 July 2007

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

Full work available at URL: https://doi.org/10.1142/s0219024907004172

zbMATH Keywords

market modeldefault riskcredit default swapintensity based modelswaptionlibor ratesLévy-process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS

Cites Work

• Towards a general theory of bond markets
• LIBOR and swap market models and measures
• Term Structure Models Driven by General Levy Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• The Defaultable Lévy Term Structure: Ratings and Restructuring

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