Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Martin Hellmich; Stefan Kassberger; Wolfgang M. Schmidt
| Year of publication: |
2013
|
|---|---|
| Authors: | Hellmich, Martin ; Kassberger, Stefan ; Schmidt, Wolfgang M. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 4, p. 1-26
|
| Subject: | Credit default | structural model | credit default swap | hyper-exponential jump diffusion | spectrally negative Kou process | entropy-based calibration | Kreditderivat | Credit derivative | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009779752