Modelling Credit Risk in the Jump Threshold Framework

DOI10.1080/1350486X.2018.1465349zbMath1411.91594OpenAlexW2799832227MaRDI QIDQ5742503

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Publication date: 15 May 2019

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2018.1465349

zbMATH Keywords

Lévy processescredit riskaffine processes

Mathematics Subject Classification ID

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

Cites Work

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• Continuous-time stochastic control and optimization with financial applications
• Stochastic calculus for finance. II: Continuous-time models.
• Two singular diffusion problems
• A Structural Jump Threshold Framework for Credit Risk
• Affine Point Processes and Portfolio Credit Risk
• Probability and Stochastics
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Lévy Processes and Stochastic Calculus

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