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

DOI10.1142/S0219024911006462zbMath1236.91139arXiv1007.1706MaRDI QIDQ5389105

Zabczyk, Jerzy, Thorsten Schmidt

Publication date: 24 April 2012

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

Full work available at URL: https://arxiv.org/abs/1007.1706

zbMATH Keywords

Lévy processesmarket modelsLibor ratecollateralized debt obligationsloss processsingle tranche CDOterm structure of forward spreads

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites Work

• Term-structure models. A graduate course
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• Consistency problems for Heath-Jarrow-Morton interest rate models