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Mendoza‐Arriaga et al., 2010 - Google Patents

Time‐Changed Markov Processes in Unified Credit‐Equity Modeling

Mendoza‐Arriaga et al., 2010

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Document ID
1913816329011045179
Author
Mendoza‐Arriaga R
Carr P
Linetsky V
Publication year
Publication venue
Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics

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Snippet

This paper develops a novel class of hybrid credit‐equity models with state‐dependent jumps, local‐stochastic volatility, and default intensity based on time changes of Markov processes with killing. We model the defaultable stock price process as a time‐changed …
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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