Lévy Simple Structural Models
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DOI: 10.1142/S021902490700438X
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References listed on IDEAS
- Elisa Luciano & Wim Schoutens, 2006.
"A multivariate jump-driven financial asset model,"
Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 385-402.
- Elisa Luciano & Wim Schoutens, 2005. "A Multivariate Jump-Driven Financial Asset Model," ICER Working Papers - Applied Mathematics Series 6-2005, ICER - International Centre for Economic Research.
- Elisa Luciano & Wim Schoutens, 2006. "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks 29, Collegio Carlo Alberto.
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- Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
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Keywords
Structural credit model; CDO pricing; Levy process; gamma process;All these keywords.
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