Monotonicity of the collateralized debt obligations term structure model

DOI10.1080/17442508.2013.879145zbMath1337.91121arXiv1512.03173OpenAlexW2962708964MaRDI QIDQ2811110

Michał Barski

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.03173

zbMATH Keywords

monotonicitybond marketHJM conditionCDO modelHJMM equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

Cites Work

• Unnamed Item
• Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
• Existence of Lévy term structure models
• Forward rate models with linear volatilities
• DYNAMIC CDO TERM STRUCTURE MODELING
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Comparison theorems for stochastic evolution equations
• Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
• CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS
• Stochastic Partial Differential Equations with Levy Noise

This page was built for publication: Monotonicity of the collateralized debt obligations term structure model