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Local intensity and its dynamics in multi-name credit derivatives modeling
Descriptive
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Text
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Title
Local intensity and its dynamics in multi-name credit derivatives modeling
SubTitle
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ETD_2333
Identifier
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http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052150
Language
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eng
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theses
Subject
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Topic
Mathematics
Subject
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(authority = ETD-LCSH)
Topic
Credit derivatives--Mathematical models
Abstract
We 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.
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electronic resource
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vi, 87 p. : ill.
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Note
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Ph.D.
Note
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Includes bibliographical references (p. 85-86)
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by Ming Shi
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Shi
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Ming
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1979-
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Ming Shi
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Feehan
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Paul
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chair
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Paul Feehan
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Ocone
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Daniel
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internal member
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Daniel Ocone
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Gundy
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Richard
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internal member
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Advisory Committee
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Richard Gundy
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Chen
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Ren-Raw
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Advisory Committee
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Ren-Raw Chen
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Rutgers University
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Graduate School - New Brunswick
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school
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2010
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2010-01
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xx
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Rutgers University Electronic Theses and Dissertations
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ETD
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Graduate School - New Brunswick Electronic Theses and Dissertations
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rucore19991600001
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doi:10.7282/T36D5T4Q
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ETD doctoral
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Rights
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The author owns the copyright to this work.
Copyright
Status
Copyright protected
Notice
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Availability
Status
Open
Reason
Permission or license
Note
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Name
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Shi
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Ming
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2009-12-22 16:26:38
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Ming Shi
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Rutgers University. Graduate School - New Brunswick
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Author Agreement License
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I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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730 days
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Detail
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application/pdf
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614400
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6b19e09507ad5ccc459caf126b94cb053b16cd56
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