Title: Break on Through to the Single Side.
Authors: Madan, Dilip
Schoutens, Wim
Issue Date: 26-Jul-2007
Publisher: K.U.Leuven Section of Statistics Technical Report
Series Title: vol:07 issue:07
Abstract: We employ a Levy process subject to only negative jumps to describe the motion of asset values. This specification permits fast computation of first passage probabilities. As a result we are able to calibrate all CDS
curves for the 125 iTraxx underliers weekly and develop a time series for the implied parameter values. A variety of models are investigated for the process: gamma, inverse Gaussian and the one sided CGMY, here referred to as CMY.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Statistics Section

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