Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk

DOI10.1239/jap/1389370095zbMath1294.60070OpenAlexW2073477519MaRDI QIDQ5407022

Holger Fink

Publication date: 4 April 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1389370095

zbMATH Keywords

predictionfractional Brownian motionlong-range dependenceconditional characteristic functionfractional Lévy processmacroeconomic variables process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Ordinary differential equations and systems with randomness (34F05) Stochastic integral equations (60H20) Credit risk (91G40)

Related Items

Maximal Inequalities for Fractional Lévy and Related Processes, Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory, Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes, Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise, Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
• Fractional term structure models: No-arbitrage and consistency
• Fractional integral equations and state space transforms
• Transformation formulas for fractional Brownian motion
• Stochastic calculus for convoluted Lévy processes
• Spectral representations of infinitely divisible processes
• Integration with respect to fractal functions and stochastic calculus. I
• Affine processes and applications in finance
• Integration questions related to fractional Brownian motion
• Identification and properties of real harmonizable fractional Lévy motions
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
• A fractional credit model with long range dependent default rate
• Multivariate fractionally integrated CARMA processes
• Prediction for some processes related to a fractional Brownian motion
• Additive processes and stochastic integrals
• Fractional Lévy processes with an application to long memory moving average processes
• An inequality of the Hölder type, connected with Stieltjes integration
• Integration with respect to Fractal Functions and Stochastic Calculus II
• Generalized fractional Lévy processes with fractional Brownian motion limit
• Fractional Lévy Processes as a Result of Compact Interval Integral Transformation
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Integrating Volatility Clustering Into Exponential Lévy Models
• On the $\gamma$-Variation of Processes with Stationary Independent Increments
• A General Fractional White Noise Theory And Applications To Finance
• On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
• Lévy Processes and Stochastic Calculus
• Conditional Distributions of Processes Related to Fractional Brownian Motion
• Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
• Elements of Stochastic Calculus via Regularization
• Credit risk: Modelling, valuation and hedging