Structural credit risk modelling with Hawkes jump diffusion processes
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Publication:269364
DOI10.1016/J.CAM.2016.02.032zbMATH Open1335.91097OpenAlexW2326216612MaRDI QIDQ269364FDOQ269364
Authors: Yong Ma, Weidong Xu 
Publication date: 18 April 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.02.032
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Cites Work
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- Multivariate Hawkes processes: an application to financial data
- Perfect simulation of Hawkes processes
- On Lewis' simulation method for point processes
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
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- Option pricing when underlying stock returns are discontinuous
- Default clustering in large portfolios: typical events
- Approximate simulation of Hawkes processes
- Credit risk modeling using time-changed Brownian motion
- Lévy simple structural models
- Asset-asset interactions and clustering in financial markets
- Exact simulation of Hawkes process with exponentially decaying intensity
- Credit risk and contagion via self-exciting default intensity
Cited In (20)
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- A structural approach to default modelling with pure jump processes
- A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes
- CDS pricing with fractional Hawkes processes
- Exchange options under clustered jump dynamics
- On the probability of default in a market with price clustering and jump risk
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives
- Bayesian analysis of structural credit risk models with microstructure noises
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
- Pricing power exchange options with Hawkes jump diffusion processes
- A structural jump threshold framework for credit risk
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests
- Time-consistent evaluation of credit risk with contagion
- Clustering effects via Hawkes processes
- Multidimensional structural credit modeling under stochastic volatility
- Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
- STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES
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