Modelling credit risk in the jump threshold framework
Year of publication: |
2018
|
---|---|
Authors: | Chiu, Chun-Yuan ; Kercheval, Alec |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 5/6, p. 411-433
|
Subject: | affine processes | Credit risk | Lévy processes | Kreditrisiko | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling | Zinsstruktur | Yield curve |
-
Spread term structure and default correlation
Gagliardini, Patrick, (2016)
-
Performance and determinants of the Merton structural model : evidence from hedging coefficients
Barsotti, Flavia, (2015)
-
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F., (2017)
- More ...
-
Portfolio optimization for student t and skewed t returns
Hu, Wenbo, (2010)
-
THE MARKET - Modeling Credit Risk
Kercheval, Alec, (2003)
-
Pricing barrier stock options with discrete dividends by approximating analytical formulae
Dai, Tian-Shyr, (2013)
- More ...