18. Unified Credit-Equity Modeling

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Vadim Linetsky and
  2. Rafael Mendoza-Arriaga

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch18

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Unified Credit-Equity Modeling, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch18

Author Information

  1. McCombs School of Business, University of Texas at Austin

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • credit default swaps;
  • credit derivatives;
  • equity derivatives;
  • equity default swaps;
  • credit-equity model

Summary

This chapter contains sections titled:

  • Introduction

  • Jump-to-Default Extended Diffusions (JDEDs)

  • The Jump-to-Default Extended CEV Model (JDCEV)

  • Introducing Jumps and Stochastic Volatility via Time Changes

  • Numerical Illustration

  • Acknowledgment