HELLMICH, MARTIN; KASSBERGER, STEFAN; SCHMIDT, WOLFGANG M. - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350021-1
This paper investigates a structural credit default model that is based on a hyper-exponential jump diffusion process for the value of the firm. For credit default swap prices and other quantities of interest, explicit expressions for the corresponding Laplace transforms are derived. The...