A Markov chain with an expanding non-uniform grid matching risk neutral marginal distributions is constructed. Conditional distributions of the chain are in the variance gamma class with prespecified skewness and excess kurtosis. Time change and space scale volatilities are calibrated from...

We construct a dynamical credit model that can be calibrated exactly to CDS quotes. Modelling the default time as the first-passage time of a credit index process to the level zero, we show that the parameters of this credit index process can be chosen such that the risk-neutral (implied)...

With an interest in keeping the cost of carry at acceptable levels for the expression of a positive or negative view on an equity asset over the longer term, a variation to equity default swaps is introduced that fixes the barrier at a given quantile. The barrier level for the stock price then...