Time-changed markov processes in unified credit-equity modeling

Mathematical Finance

Volumn 20, Issue 4, 2010, Pages 527-569

  Mendoza Arriaga, Rafael ^a   Carr, Peter ^b   Linetsky, Vadim ^c  

^a UNIVERSITY OF TEXAS   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c NORTHWESTERN UNIVERSITY   (United States)

Author keywords

CEV model; Corporate bonds; Credit derivatives; Credit spread; Credit equity model; Default; Equity derivatives; Implied volatility skew; JDCEV model; Jump diffusion process; L vy Subordinators; State dependent L vy measures; Time change

Indexed keywords

EID: 77957151262     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00411.x     Document Type: Article

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