NDLI: A Structural Jump Threshold Framework for Credit Risk

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An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

Short Maturity Asian Options in Local Volatility Models

Robust Numerical Calibration for Implied Volatility Expansion Models

Uniform Bounds for Black--Scholes Implied Volatility

An Efficient Transform Method for Asian Option Pricing

Arbitrage and Hedging in Model-Independent Markets with Frictions

Resolution of Degeneracy in Merton's Portfolio Problem

A Closed-Form Execution Strategy to Target Volume Weighted Average Price

General Smile Asymptotics with Bounded Maturity

Optimal Consumption and Sale Strategies for a Risk Averse Agent

A Structural Jump Threshold Framework for Credit Risk

Generalized Arbitrage-Free SVI Volatility Surfaces

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model

Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model

Hedging Under an Expected Loss Constraint with Small Transaction Costs

Conditional Analysis and a Principal-Agent Problem

Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio

Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion

Optimal Liquidation of an Asset under Drift Uncertainty

BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

Variance Swaps on Defaultable Assets and Market Implied Time-Changes

The Critical Price of the American Put Near Maturity in the Jump Diffusion Model

A Backward Dual Representation for the Quantile Hedging of Bermudan Options

Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming

A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA

A Correction Note for Price Dynamics in a Markovian Limit Order Market

A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim

Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs

Robust Utility Maximization without Model Compactness

Optimal Discretization of Hedging Strategies with Directional Views

Model Uncertainty in Commodity Markets

A Structural Jump Threshold Framework for Credit Risk

Content Provider	Society for Industrial and Applied Mathematics (SIAM)
Author	Kercheval, Alec Garreau, Pierre
Copyright Year	2016
Abstract	This paper presents a new structural framework for multidimensional default risk. We define the time of default as the first time the log-return of the stock price of a firm jumps below a (possibly nonconstant) default level. When stock prices are exponential Lévy, this framework is equivalent to a reduced form approach, where the intensity process is parametrized by a Lévy measure. The dependence between the default times of firms within a basket of credit securities is the result of the jump dependence of their respective stock prices, making the link between the equity and credit markets. We value a first-to-default basket credit default swap (CDS) as an application.
Sponsorship	Simons Foundation
Starting Page	642
Ending Page	673
Page Count	32
File Format	PDF
DOI	10.1137/140993892
e-ISSN	1945497X
Journal	SIAM Journal on Financial Mathematics (SJFMBJ)
Issue Number	1
Volume Number	7
Language	English
Publisher	Society for Industrial and Applied Mathematics
Publisher Date	2016-09-15
Access Restriction	Subscribed
Subject Keyword	reduced form models structural models credit risk Lévy processes Credit risk Lévy copula Processes with independent increments; Lévy processes
Content Type	Text
Resource Type	Article

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Continuity Correction for Barrier Options in Jump-Diffusion Models

Intrinsic contractivity properties of Feynman-Kac semigroups for symmetric jump processes with infinite range jumps

A Structural Jump Threshold Framework for Credit Risk

Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes

Quasi--Self-Dual Exponential Lévy Processes

Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory

Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process

Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion

Credit Risk, CDOs and Copulas

A Structural Jump Threshold Framework for Credit Risk

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