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