Sato processes in default modelling

DOI10.1080/13504860903357292MaRDI QIDQ3063871zbMATH OpenOpenAlexFDO

Authors Thomas Kokholm, Elisa Nicolato

Publication date 15 December 2010

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860903357292

zbMATH Keywords

credit default swapreduced form modelSato processcumulative hazardtime-changed Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Credit risk (91G40) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• A theory of the term structure of interest rates
• Credit Risk Modeling
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Credit risk: Modelling, valuation and hedging
• Generalized hyperbolic diffusion processes with applications in finance
• Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On models of default risk.
• Pricing and trading credit default swaps in a hazard process model
• Pricing options on realized variance
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Sato processes and the valuation of structured products
• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Self-similar processes with independent increments
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION

Cited in

(9)

• An intensity model for credit risk with switching Lévy processes
• On the structure of the stochastic processes of mortgages in Spain
• Multivariate tempered stable additive subordination for financial models
• Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes
• Linear credit risk models
• A tractable LIBOR model with default risk
• Sato processes and the valuation of structured products
• Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• Multivariate subordination of Markov processes with financial applications

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