Defaultable bonds with an infinite number of Lévy factors

DOI10.4064/am37-3-2zbMath1230.91177arXiv0909.4089OpenAlexW1994979734MaRDI QIDQ3066637

Mariusz Andrzej Niewȩgłowski, Jacek Jakubowski

Publication date: 11 January 2011

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.4089

zbMATH Keywords

Lévy processesdefaultable bondsconditional Markov chaincredit misk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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