This paper develops a model for the unified valuation of all forms of real asset financing, such as bank loans, leases, securitization vehicles, and credit guarantees, secured by assets that generate a stochastic service flow to the operator, or a rental stream to the lessor, and depreciate over...

Equity default swaps (EDS) are hybrid credit-equity products that provide a bridge from credit default swaps (CDS) to equity derivatives with barriers. This paper develops an analytical solution to the EDS pricing problem under the Jump-to-Default Extended Constant Elasticity Variance Model...

This document contains complementary material of section 6 of the article "Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk". In particular, we provide the time-inhomogeneous extensions of Theorems 4.1 and 4.2 of the main document. These results...

The paper presents a novel construction of Marshall-Olkin (MO) multivariate exponential distributions of failure times as distributions of the first passage times of the coordinates of multidimensional Levy subordinator processes above independent unit-mean exponential random variables. A...