User menu

An intensity model for credit risk with switching Lévy processes

Bibliographic reference Hainaut, Donatien ; Le Courtois, Olivier. An intensity model for credit risk with switching Lévy processes. In: Quantitative Finance, Vol. 14, no.8, p. 1453-1465 (2013)
Permanent URL http://hdl.handle.net/2078/185390
  1. Barndorff-Nielsen Ole E., Processes of normal inverse Gaussian type, 10.1007/s007800050032
  2. BUFFINGTON JOHN, ELLIOTT ROBERT J., AMERICAN OPTIONS WITH REGIME SWITCHING, 10.1142/s0219024902001523
  3. Cariboni J., Metrika, 69, 173 (2008)
  4. Chen Nan, Kou S. G., CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK, 10.1111/j.1467-9965.2009.00375.x
  5. Dao Binh, Jeanblanc Monique, Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure, 10.21314/jcr.2012.140
  6. Duffie Darrell, Singleton Kenneth J., Modeling Term Structures of Defaultable Bonds, 10.1093/rfs/12.4.687
  7. Elliott Robert J., Chan Leunglung, Siu Tak Kuen, Option pricing and Esscher transform under regime switching, 10.1007/s10436-005-0013-z
  8. Giesecke K., Kakavand H., Mousavi M., Exact Simulation of Point Processes with Stochastic Intensities, 10.1287/opre.1110.0962
  9. Hainaut Donatien, MacGilchrist Renaud, Strategic asset allocation with switching dependence, 10.1007/s10436-011-0183-9
  10. Hamilton James D., A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, 10.2307/1912559
  11. Jarrow Robert A., Turnbull Stuart M., Pricing Derivatives on Financial Securities Subject to Credit Risk, 10.2307/2329239
  12. Kalman R. E., A New Approach to Linear Filtering and Prediction Problems, 10.1115/1.3662552
  13. Kokholm Thomas, Nicolato Elisa, Sato Processes in Default Modelling, 10.1080/13504860903357292
  14. Kou S. G., A Jump-Diffusion Model for Option Pricing, 10.1287/mnsc.48.8.1086.166
  15. Lando David, 10.1023/a:1018626005149
  16. Le Courtois Olivier, Quittard-Pinon François, Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model, 10.1007/s10690-007-9033-1
  17. Le Courtois Olivier, Quittard-Pinon François, The optimal capital structure of the firm with stable Lévy assets returns, 10.1007/s10203-007-0079-3
  18. Madan Dilip B., Seneta Eugene, The Variance Gamma (V.G.) Model for Share Market Returns, 10.1086/296519
  19. Madan Dilip B., Unal Haluk, 10.1023/a:1018668206058
  20. Cremers K.J. Martijn, Driessen Joost, Maenhout Pascal, Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model, 10.1093/rfs/hhn071
  21. Merton Robert C., On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, 10.2307/2978814
  22. Landén Camilla, Bond pricing in a hidden Markov model of the short rate, 10.1007/pl00013526
  23. Brémaud Pierre, Point Processes and Queues, ISBN:9781468494792, 10.1007/978-1-4684-9477-8