This document contains complementary material of section 6 of the article "Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk". In particular, we provide the time-inhomogeneous extensions of Theorems 4.1 and 4.2 of the main document. These results...

The paper presents a novel construction of Marshall-Olkin (MO) multivariate exponential distributions of failure times as distributions of the first passage times of the coordinates of multidimensional Levy subordinator processes above independent unit-mean exponential random variables. A...

Equity default swaps (EDS) are hybrid credit-equity products that provide a bridge from credit default swaps (CDS) to equity derivatives with barriers. This paper develops an analytical solution to the EDS pricing problem under the Jump-to-Default Extended Constant Elasticity Variance Model...