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Lévy processes in credit risk. (English) Zbl 1192.91008
Chichester: John Wiley & Sons (ISBN 978-0-470-74306-5/hbk). xiii, 185 p. (2009).
This text introduces into the use of Lévy processes in credit risk modeling. After a general overview of credit risk and standard credit derivatives, the authors provide a short introduction into Lévy processes in general. This material is then used to study single-name credit derivatives. Following this, the authors introduce into firm-value Lévy models, including the Merton model, Black-Cox model, Lévy first passage model, variance gamma model and the one sided Lévy default model. The problem of calibration is discussed. After that, the authors introduce intensity Lévy models such as the Jarrow and Turnbull model, the Cox model and the intensity-OU model. Multivariate credit products, collateralized debt obligations and multivariate index modeling are discussed in the following. In the final part of their book, the authors study credit CPPIs and CPDOs as well as asset-backed securities.

91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G40 Credit risk
60G51 Processes with independent increments; Lévy processes
91G80 Financial applications of other theories
91G20 Derivative securities (option pricing, hedging, etc.)