Martin Hellmich

Frankfurt School of Finance & Management gemeinnützige GmbH

Sonnemannstraße 9-11

Frankfurt am Main, 60314

Germany

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Scholarly Papers (1)

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Credit Modelling Under Jump Diffusions with Exponentially Distributed Jumps - Stable Calibration, Dynamics and Gap Risk

Number of pages: 22 Posted: 15 Sep 2010 Last Revised: 08 Oct 2015
Stefan Kassberger, Martin Hellmich and Wolfgang M. Schmidt
Frankfurt School of Finance & Management gemeinnützige GmbH, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
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Abstract:

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credit default, structural model, credit default swap, hyper-exponential jump diffusion, spectrally negative Kou process, entropy-based calibration