Lévy simple structural models

DOI10.1142/S021902490700438XMaRDI QIDQ5169976zbMATH OpenOpenAlexFDO

Authors Martin Baxter

Publication date 17 July 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902490700438x

zbMATH Keywords

CDO pricinggamma processLévy processstructural credit model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 41029 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• The Variance Gamma Process and Option Pricing

Cited in

(13)

• Structural credit risk modelling with Hawkes jump diffusion processes
• Notes on exact and semi-exact Lévy models for the valuation of CDOs
• Efficient solution of structural default models with correlated jumps and mutual obligations
• Justification of per-unit risk capital allocation in portfolio credit risk models
• scientific article; zbMATH DE number 5853093 (Why is no real title available?)
• Calibration of financial models using quasi-Monte Carlo
• A multivariate Lévy process model with linear correlation
• scientific article; zbMATH DE number 1775715 (Why is no real title available?)
• Multivariate marked Poisson processes and market related multidimensional information flows
• Basket option pricing and implied correlation in a one-factor Lévy model
• scientific article; zbMATH DE number 2121543 (Why is no real title available?)
• General theory of geometric Lévy models for dynamic asset pricing
• Pricing of CDOs based on the multivariate Wang transform

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