Default swap games driven by spectrally negative Lévy processes

Masahiko Egami; Tim Leung; Kazutoshi Yamazaki

doi:10.1016/j.spa.2012.09.008

Default swap games driven by spectrally negative Lévy processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2012.09.008 ◽

2013 ◽

Vol 123 (2) ◽

pp. 347-384 ◽

Cited By ~ 13

Author(s):

Masahiko Egami ◽

Tim Leung ◽

Kazutoshi Yamazaki

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Default Swap ◽

Spectrally Negative Lévy Processes

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Default Swap Games Driven by Spectrally Negative Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2009664 ◽

2012 ◽

Author(s):

Tim Siu-Tang Leung ◽

Kazutoshi Yamazaki ◽

Masahiko Egami

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Default Swap ◽

Spectrally Negative Lévy Processes

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Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

Seminar on Stochastic Analysis, Random Fields and Applications VI ◽

10.1007/978-3-0348-0021-1_8 ◽

2011 ◽

pp. 119-145 ◽

Cited By ~ 18

Author(s):

F. Hubalek ◽

E. Kyprianou

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Scale Functions ◽

Spectrally Negative Lévy Processes

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A Potential-theoretical Review of some Exit Problems of Spectrally Negative Lévy Processes

Lecture Notes in Mathematics - Séminaire de Probabilités XXXVIII ◽

10.1007/978-3-540-31449-3_4 ◽

2004 ◽

pp. 30-41 ◽

Cited By ~ 9

Author(s):

Martijn R. Pistorius

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Exit Problems ◽

Spectrally Negative Lévy Processes

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On the refracted–reflected spectrally negative Lévy processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2017.03.024 ◽

2018 ◽

Vol 128 (1) ◽

pp. 306-331 ◽

Cited By ~ 5

Author(s):

José-Luis Pérez ◽

Kazutoshi Yamazaki

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Spectrally Negative Lévy Processes

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On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes

The Annals of Applied Probability ◽

10.1214/07-aap504 ◽

2008 ◽

Vol 18 (5) ◽

pp. 1669-1680 ◽

Cited By ~ 138

Author(s):

R. L. Loeffen

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Barrier Strategy ◽

Spectrally Negative Lévy Processes

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The Theory of Scale Functions for Spectrally Negative Lévy Processes

Lévy Matters II - Lecture Notes in Mathematics ◽

10.1007/978-3-642-31407-0_2 ◽

2012 ◽

pp. 97-186 ◽

Cited By ~ 69

Author(s):

Alexey Kuznetsov ◽

Andreas E. Kyprianou ◽

Victor Rivero

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Scale Functions ◽

Spectrally Negative Lévy Processes

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On taxed spectrally negative Lévy processes with draw-down stopping

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2017.06.005 ◽

2017 ◽

Vol 76 ◽

pp. 69-74 ◽

Cited By ~ 15

Author(s):

Florin Avram ◽

Nhat Linh Vu ◽

Xiaowen Zhou

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Spectrally Negative Lévy Processes

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An optimal dividends problem with transaction costs for spectrally negative Lévy processes

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2009.03.002 ◽

2009 ◽

Vol 45 (1) ◽

pp. 41-48 ◽

Cited By ~ 35

Author(s):

R.L. Loeffen

Keyword(s):

Transaction Costs ◽

Lévy Processes ◽

Levy Processes ◽

Optimal Dividends ◽

Spectrally Negative Lévy Processes

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Local Times for Spectrally Negative Lévy Processes

Potential Analysis ◽

10.1007/s11118-018-09756-6 ◽

2019 ◽

Vol 52 (4) ◽

pp. 689-711

Author(s):

Bo Li ◽

Xiaowen Zhou

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Local Times ◽

Spectrally Negative Lévy Processes

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On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications

Theory of Probability and Mathematical Statistics ◽

10.1090/tpms/1020 ◽

2018 ◽

Vol 95 ◽

pp. 17-40 ◽

Cited By ~ 4

Author(s):

Florin Avram ◽

Xiaowen Zhou

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Fluctuation Theory ◽

Spectrally Negative Lévy Processes

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