The Defaultable Lévy Term Structure: Ratings and Restructuring
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Publication:4409031
DOI10.1111/1467-9965.00017zbMath1049.91066OpenAlexW2060061155MaRDI QIDQ4409031
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00017
Related Items (19)
General dynamic term structures under default risk ⋮ Real-World Forward Rate Dynamics With Affine Realizations ⋮ DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ A multiple-curve Lévy forward rate model in a two-price economy ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ A multiple-curve HJM model of interbank risk ⋮ PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS ⋮ Existence of Lévy term structure models ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Bilateral gamma distributions and processes in financial mathematics ⋮ Conditional Markov chains: properties, construction and structured dependence ⋮ LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE ⋮ BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE ⋮ Exponential moments for HJM models with jumps ⋮ VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS ⋮ ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS ⋮ RATING BASED LÉVY LIBOR MODEL ⋮ Correlations in Lévy interest rate models
Cites Work
- Towards a general theory of bond markets
- Multiple Ratings Model of Defaultable Term Structure
- Term Structure Models Driven by General Levy Processes
- Modeling of the Defaultable Term Structure: Conditionally Markov Approach
- Statistical models based on counting processes
- Credit risk: Modelling, valuation and hedging
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