Lévy Processes in Credit Risk

Mapping Intimacies ◽

10.1002/9781119206521 ◽

2012 ◽

Cited By ~ 11

Keyword(s):

Credit Risk ◽

Lévy Processes ◽

Levy Processes

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Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling

Science China Mathematics ◽

10.1007/s11425-014-4802-6 ◽

2014 ◽

Vol 57 (6) ◽

pp. 1237-1256

Author(s):

LiJun Bo ◽

XueWei Yang

Keyword(s):

Credit Risk ◽

Lévy Processes ◽

Levy Processes ◽

Risk Modeling ◽

Pasting Property ◽

Credit Risk Modeling

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An Intensity Model for Credit Risk with Switching Lévy Processes.

SSRN Electronic Journal ◽

10.2139/ssrn.2210859 ◽

2013 ◽

Author(s):

Donatien Hainaut ◽

Olivier Arnaud Le Courtois

Keyword(s):

Credit Risk ◽

Lévy Processes ◽

Levy Processes ◽

Intensity Model

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A Structural Model for Credit Risk with Markov Modulated Lévy Processes and Synchronous Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2211424 ◽

2013 ◽

Cited By ~ 1

Author(s):

Donatien Hainaut ◽

David B. Colwell

Keyword(s):

Credit Risk ◽

Lévy Processes ◽

Structural Model ◽

Levy Processes ◽

Markov Modulated

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Credit risk with infinite dimensional Lévy processes

Statistics & Decisions ◽

10.1524/stnd.2005.23.4.281 ◽

2005 ◽

Vol 23 (4/2005) ◽

Cited By ~ 6

Author(s):

Fehmi Özkan ◽

Thorsten Schmidt

Keyword(s):

Credit Risk ◽

Lévy Processes ◽

Levy Processes ◽

Infinite Dimensional

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Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk

The Annals of Applied Probability ◽

10.1214/14-aap1051 ◽

2015 ◽

Vol 25 (5) ◽

pp. 2383-2415

Author(s):

M. H. A. Davis ◽

M. R. Pistorius

Keyword(s):

Credit Risk ◽

Explicit Solution ◽

Lévy Processes ◽

First Passage Time ◽

Passage Time ◽

Levy Processes ◽

First Passage ◽

Time Problem ◽

Counterparty Credit Risk ◽

First Passage Time Problem

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STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES

Far East Journal of Mathematical Sciences (FJMS) ◽

10.17654/fjmsmay2015_101_119 ◽

2015 ◽

Vol 97 (1) ◽

pp. 101-119

Author(s):

Chiara Brambilla ◽

Martin Gurny ◽

Sergio Ortobelli Lozza

Keyword(s):

Credit Risk ◽

Lévy Processes ◽

Levy Processes ◽

Risk Models ◽

Structural Credit Risk Models

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An intensity model for credit risk with switching Lévy processes

Quantitative Finance ◽

10.1080/14697688.2012.756583 ◽

2013 ◽

Vol 14 (8) ◽

pp. 1453-1465 ◽

Cited By ~ 12

Author(s):

Donatien Hainaut ◽

Olivier Le Courtois

Keyword(s):

Credit Risk ◽

Lévy Processes ◽

Levy Processes ◽

Intensity Model

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Lévy Processes and Stochastic Calculus

10.1017/cbo9780511755323 ◽

2004 ◽

Cited By ~ 439

Author(s):

David Applebaum

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Stochastic Calculus

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On correlating Lévy processes

The Journal of Risk ◽

10.21314/jor.2010.219 ◽

2010 ◽

Vol 13 (1) ◽

pp. 3-16 ◽

Cited By ~ 36

Author(s):

Ernst Eberlein ◽

Dilip Madan

Keyword(s):

Lévy Processes ◽

Levy Processes

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Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.1589809 ◽

2010 ◽

Cited By ~ 6

Author(s):

Sergei Z. Levendorskii ◽

Jiayao Xie

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

European Options

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