HUEHNE, FLORIAN - In: International Journal of Theoretical and Applied … 10 (2007) 03, pp. 407-435
We introduce the intensity-based defaultable Lévy Libor model, which generalizes the default-free Lévy Libor model introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance 13(2) (2003) 277–300], and the intensity-based...