Credit Derivatives Pricing Based on Lévy Field Driven Term Structure

DOI10.1080/07362994.2014.858533zbMath1302.91185OpenAlexW2048644611MaRDI QIDQ5413860

Xuewei Yang, Ying Jiao, Li Jun Bo

Publication date: 2 May 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.858533

zbMATH Keywords

numerical examplesderivatives pricingcontagion riskparabolic integro-differential equationLévy random fieldcredit term structure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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