Structural Approach of Credit Risk with Jump Diffusion Process
Thanh Binh DAO
Broschiertes Buch

Structural Approach of Credit Risk with Jump Diffusion Process

Credit Risk Models & Application

Versandkostenfrei!
Versandfertig in 6-10 Tagen
44,99 €
inkl. MwSt.
PAYBACK Punkte
22 °P sammeln!
Structural Approach of Credit Risk with Jump Diffusion Process proposes three essays in the modelling of the firm s asset value as a jump diffusion process within the structural approach of credit risk. The first essay deals with the modelling of a perpetual coupon debt structure using two different jump diffusion processes: double exponential and uniform. The second models a debt structure of roll-over perpetual, where the firm s asset value follows a double exponential jump diffusion process. The third develops a model with zero coupon debt structure, and takes into account a stopping time m...