Credit rating-based Lévy Libor model (CROSBI ID 548838)
Neobjavljeno sudjelovanje sa skupa | neobjavljeni prilog sa skupa | međunarodna recenzija
Podaci o odgovornosti
Grbac, Zorana ; Eberlein, Ernst
engleski
Credit rating-based Lévy Libor model
We present an extension of the Lévy Libor model to the multiple credit rating setting. The dynamics of default-free Libor rates and the dynamics of spreads for each rating class are specified, starting with a time-inhomogeneous Lévy process as driving process. We derive conditions for this model to be arbitrage-free and prove that rating-sensitive Libor rates evolve as martingales under appropriately chosen forward measures. We study the pricing problem for certain credit derivatives in this setting and provide pricing formulae in some special cases. This is joint work with Ernst Eberlein.
credit rating; Libor rate; Lévy process
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
Podaci o prilogu
nije evidentirano
nije evidentirano
Podaci o skupu
Concluding Workshop, Special Semester on Stochastics with Emphasis on Finance
pozvano predavanje
02.12.2008-04.12.2008
Linz, Austrija