Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

By M. Joshi, Alan M. Stacey. 2006

51 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/d114050decf8aad84c166ac1974e97c5caee91df

Citations in the corpus

• Pricing CDOs with Correlated Variance Gamma Distributions (2006, unknown): “Fportfolio loss(x) = FM (√ 1− c2F−1 Zi (x)− C c ) , (13)”
• Bivariate Gamma wear processes for track geometry modelling, with application to intervention scheduling (2012, unknown): “Gamma processes are also used in other domains, such as finance (Joshi and Stacey 2006) or risk analysis (Dufresne et al. 2000).”