Lévy simple structural models

Credit Correlation: Life After Copulas

Volumn , Issue , 2007, Pages 1-14

  Baxter, Martin ^a  

^a Nomura International Plc   (United Kingdom)

Author keywords

CDO pricing; Gamma process; Levy process; Structural credit model

Indexed keywords

EID: 84967355842     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1142/9789812709509_0001     Document Type: Chapter

References (11)

1. D. Applebaum, Levy Processes and Stochastic Calculus (Cambridge University Press, 2004).
2. D. Brigo, A. Pallavicini and R. Torresetti, Calibration of CDO tranches with the dynamical generalized-poisson loss model, working paper (2006).
3. Creditflux newsletter, Rated Equity Deals Put on Hold as Second Correlation Crisis Bites (3 November 2006).
4. J. Hull and A. White, Valuation of a CDO and an nth to default CDS without monte carlo simulation, Journal of Derivatives 12(2) (2004) 8-23.
5. M. Joshi and A. Stacey, Intensity Gamma: a new approach to pricing portfolio credit derivatives, preprint (2005).
6. E. Luciano and W. Schoutens, A multivariate jump-driven financial asset model, preprint (2005).
7. D. Madan, P. Carr and E. Chang, The variance gamma process and option pricing, European Finance Review 2(1) (1998) 79-105.
8. T. Moosbrucker, Pricing CDOs with correlated variance gamma distributions, colloquium paper, Centre for Financial Research, University of Cologne (2006).
9. W. Press, S. Teukolsky, W. Vetterling and B. Flannery, Numerical Recipes in C (Cambridge University Press, 1988).
10. W. Schoutens, Jumps in credit risk modelling, presentation, King’s College London (2006).
11. M. Winkel, Introduction to levy processes, graduate lecture, Department of Statistics, University of Oxford (2004).