An extension of CreditGrades model approach with Lévy processes (Q2866399): Difference between revisions

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+https://doi.org/10.1080/14697681003777089
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+W1987476802
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@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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+Financial Modelling with Jump Processes
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+Optimal capital structure and endogenous default
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+A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
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+Single name credit default swaptions meet single sided jump models
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+Q4937701
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