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LÉVY SIMPLE STRUCTURAL MODELS

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References

2004Lévy Processes and Stochastic Calculus2,040 cited
1998The Variance Gamma Process and Option Pricing1,786 cited
2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
2006A Multivariate Jump-Driven Financial Asset Model204 cited
2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model107 cited
2006Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives56 cited
2006Pricing CDOs with Correlated Variance Gamma Distributions52 cited

Cited by

2012General theory of geometric Lévy models for dynamic asset pricing30 cited
2009Single and joint default in a structural model with purely discontinuous asset prices30 cited
2009A multivariate Lévy process model with linear correlation25 cited
2016Structural credit risk modelling with Hawkes jump diffusion processes24 cited

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