Pricing Credit Default Swaps Under Levy Models

By Jessica Cariboni, Wim Schoutens. 2007

79 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a74b0628a027c0ea1e59397d327969adf4b7beb9

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Citations in the corpus

• A multivariate jump-driven financial asset model (2006, unknown): “Differently from the Merton-type case, the probability P(t) cannot be written in closed form; however, it can be easily computed, either via Monte Carlo techniques or as the solution of an appropriate PIDE (see Cariboni and Schoutens (2004)).”
• Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives (2006, methodology): “In the case of a single defaulting asset, Schoutens [3] has recently looked at using a firm value model based on the Variance Gamma process.”
• Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009, unknown): “Generally speaking, however, the computational process with PIDE is rather expensive, especially for the infinite activity L´evy processes we are interested in, because they give rise to an integral in the PIDE with a weakly singular kernel [2, 27, 43].”
• Single and joint default in a structural model with purely discontinuous assets (2007, methodology): “In the credit risk structural literature, the VG assumption has already been adopted by Madan (2000) and Cariboni and Schoutens (2004): the former built a model with terminal default only, the latter introduced the possibility of early default. Both have shown that the assumed dynamics allows for po”
• Break on Through to the Single Side (2008, unknown): “In contrast to double sided Lévy processes, which were for example applied by Cariboni and Schoutens [3], we do not need to solve a rather time-consuming Partial-Integro-Differential Equation (PIDE) in order to obtain the default probabilities over time.”