TitleLocal intensity and its dynamics in multi-name credit derivatives modeling
NameShi, Ming (author), Feehan, Paul (chair), Ocone, Daniel (internal member), Gundy, Richard (internal member), Chen, Ren-Raw (outside member), Rutgers University, Graduate School - New Brunswick,
Credit derivatives--Mathematical models
DescriptionWe import the problems and techniques developed for the local volatility model in equity derivatives to multi-name credit modeling, propose and solve analogous problems. In particular, we analyze the properties of the local intensity of the aggregate loss process and explore the stochastic evolution of the local intensity surface under the "top-down" credit modeling framework. The analogy of Dupire's formula, Gyongy's theorem, backward and forward equations are showed and parametric factor models for the dynamics of the local intensity surface will be discussed.
NoteIncludes bibliographical references (p. 85-86)
Noteby Ming Shi
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.