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• W2048644611 abstract "We use Lévy random fields to model the term structure of forward default intensity, which allows to describe the contagion risks. We consider the pricing of credit derivatives, notably of defaultable bonds in our model. The main result is to prove the pricing kernel as the unique solution of a parabolic integro-differential equation by constructing a suitable contractible operator and then considering the limit case for an unbounded terminal condition. Finally, we illustrate the impact of contagious jump risks on the defaultable bond price by numerical examples." @default.
• W2048644611 created "2016-06-24" @default.
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• W2048644611 date "2014-02-13" @default.
• W2048644611 modified "2023-09-27" @default.
• W2048644611 title "Credit Derivatives Pricing Based on Lévy Field Driven Term Structure" @default.
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• W2048644611 doi "https://doi.org/10.1080/07362994.2014.858533" @default.
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