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Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives · Study

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PreprintIntensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

Mark S. Joshi2006

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Preprintgreen2006

Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

Mark S. Joshi · Alan M. Stacey

56 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2003Monte Carlo Methods in Financial Engineering 2003Financial Modelling with Jump Processes 1999Modeling Term Structures of Defaultable Bonds 1998The Variance Gamma Process and Option Pricing 1990The Variance Gamma (V.G.) Model for Share Market Returns 1996Estimating Security Price Derivatives Using Simulation 1991Option Pricing With V. G. Martingale Components1 2003Credit Derivatives Pricing Models

Cited by

2006Pricing CDOs with Correlated Variance Gamma Distributions 2007LÉVY SIMPLE STRUCTURAL MODELS 2008Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling 2006Explaining the Correlation Smile Using Variance Gamma Distributions 2007Risk Premia in Structured Credit Derivatives 2006Portfolio losses in factor models: term structures and intertemporal loss dependence

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations56

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.907384

openalex_workW1543441353

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