Lévy simple structural models
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Publication:5169976
DOI10.1142/S021902490700438XzbMATH Open1291.91218OpenAlexW2124689651MaRDI QIDQ5169976FDOQ5169976
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
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Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Credit risk (91G40)
Cites Work
Cited In (13)
- 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
- Title not available (Why is that?)
- 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
- Title not available (Why is that?)
- Justification of per-unit risk capital allocation in portfolio credit risk models
- Basket option pricing and implied correlation in a one-factor Lévy model
- Title not available (Why is that?)
- Multivariate marked Poisson processes and market related multidimensional information flows
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