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International Journal of Computer Mathematics Volume 92, 2015 - Issue 12: Computational Methods in Finance
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SECTION B

Efficient solution of structural default models with correlated jumps and mutual obligations

Andrey ItkinBank of America, New York, 10036 NY, USA;School of Engineering, New York University, New York, NY, USACorrespondence[email protected]
&
Alexander LiptonBank of America, New York, 10036 NY, USA;Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK
Pages 2380-2405 | Received 30 Nov 2014, Accepted 19 May 2015, Published online: 14 Aug 2015

Citations (17)

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Read on this site (4)

Vadim Kaushansky, Alexander Lipton & Christoph Reisinger. (2018) Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling. Applied Mathematical Finance 25:5-6, pages 434-465.
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Andrey Itkin. (2017) Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. Applied Mathematical Finance 24:6, pages 485-519.
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Andrey Itkin. (2017) LSV models with stochastic interest rates and correlated jumps. International Journal of Computer Mathematics 94:7, pages 1291-1317.
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Wenfei Wang, Xu Chen, Deng Ding & Siu-Long Lei. (2015) Circulant preconditioning technique for barrier options pricing under fractional diffusion models. International Journal of Computer Mathematics 92:12, pages 2596-2614.
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Articles from other publishers (13)

ALEXANDER LIPTON, VADIM KAUSHANSKY & CHRISTOPH REISINGER. (2019) Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary. European Journal of Applied Mathematics 32:6, pages 1035-1068.
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ALEXANDER LIPTON. (2020) OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS. International Journal of Theoretical and Applied Finance 23:04, pages 2050024.
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Laura Ballotta, Gianluca Fusai & Daniele Marazzina. (2019) Integrated structural approach to Credit Value Adjustment. European Journal of Operational Research 272:3, pages 1143-1157.
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Vadim Kaushansky, Alexander Lipton & Christoph Reisinger. (2018) Numerical analysis of an extended structural default model with mutual liabilities and jump risk. Journal of Computational Science 24, pages 218-231.
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Laura Ballotta, Griselda Deelstra & Grégory Rayée. (2017) Multivariate FX models with jumps: Triangles, Quantos and implied correlation. European Journal of Operational Research 260:3, pages 1181-1199.
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Andrey ItkinAndrey Itkin. 2017. Pricing Derivatives Under Lévy Models. Pricing Derivatives Under Lévy Models 247 264 .
Andrey ItkinAndrey Itkin. 2017. Pricing Derivatives Under L?vy Models. Pricing Derivatives Under L?vy Models 205 245 .
ALEXANDER LIPTON. (2016) MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS. International Journal of Theoretical and Applied Finance 19:06, pages 1650034.
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Dilip B. Madan. 2016. Advanced Modelling in Mathematical Finance. Advanced Modelling in Mathematical Finance 107 130 .
Laura Ballotta & Alessandro Morico. (2018) Hidden Correlations: A Self-Exciting Tale from the FX World. SSRN Electronic Journal.
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Laura Ballotta & Grrgory Rayye. (2017) Smiles & Smirks: A Tale of Factors. SSRN Electronic Journal.
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Laura Ballotta, Gianluca Fusai & Daniele Marazzina. (2015) Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps. SSRN Electronic Journal.
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Laura Ballotta, Griselda Deelstra & Grrgory Rayye. (2015) Quanto Implied Correlation in a Multi-LLvy Framework. SSRN Electronic Journal.
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