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AMS Classification 60G51
"Processes with independent increments; Lévy processes"

These are all the papers that have the " 60G51 " classification. Note that not all authors/journals assign MSC codes.     (sorted by date)

Default Swap Games Driven by Spectrally Negative Lévy Processes
by Masahiko Egami of Kyoto University,
Tim S.T. Leung of Columbia University, and
Kazutoshi Yamazaki of Osaka University
(680K PDF) -- 34 pages -- September 27, 2012

Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
by Budhi Arta Surya of Bandung Institute of Technology
(338K PDF) - 20 pages -- July 30, 2012

Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(570K PDF) -- 57 pages -- June 19, 2012

A Hierarchical Model of Tail Dependent Asset Returns for Assessing Portfolio Credit Risk
by Natalia Puzanova of Deutsche Bundesbank
(711K PDF) -- 56 pages -- December 2011

Structural Credit Risk using Time-changed Brownian Motions: A tale of two models
by Tom R. Hurd of McMaster University, and
Zhuowei Zhou of McMaster University
(848K PDF) -- 23 pages -- September 13, 2011

American Step-up and Step-down Credit Default Swaps Under Lévy Models
by Tim S.T. Leung of the Johns Hopkins University, and
Kazutoshi Yamazaki of the Osaka University
(561K PDF) -- 24 pages -- December 25, 2010

Mathematics in Financial Risk Management
by Ernst Eberlein of the Universität Freiburg,
Rüdiger Frey of the Universität Leipzig,
Michael Kalkbrener of Deutsche Bank AG, and
Ludger Overbeck of Universität Giessen
(381K PDF) -- 25 pages -- March 31, 2007


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