Pregled bibliografske jedinice broj: 398627
Credit rating-based Lévy Libor model
Credit rating-based Lévy Libor model // Concluding Workshop, Special Semester on Stochastics with Emphasis on Finance
Linz, Austrija, 2008. (pozvano predavanje, međunarodna recenzija, neobjavljeni rad, znanstveni)
CROSBI ID: 398627 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Credit rating-based Lévy Libor model
Autori
Grbac, Zorana ; Eberlein, Ernst
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni
Skup
Concluding Workshop, Special Semester on Stochastics with Emphasis on Finance
Mjesto i datum
Linz, Austrija, 02.12.2008. - 04.12.2008
Vrsta sudjelovanja
Pozvano predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
credit rating; Libor rate; Lévy process
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
037-0372790-2799 - Analiza i vjerojatnost (Šikić, Hrvoje, MZOS ) ( CroRIS)
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb
Profili:
Zorana Grbac
(autor)
