CDO TERM STRUCTURE MODELLING WITH LEVY PROCESSES AND THE RELATION TO MARKET MODELS

被引：2

作者：

Schmidt, Thorsten ^{[1
]}

Zabczyk, Jerzy ^{[2
]}

机构：

[1] Tech Univ Chemnitz, Dept Math, Reichenhainer Str 41, D-09126 Chemnitz, Germany

[2] Polish Acad Sci, Inst Math, Sniadeckich 8,POB 21, PL-00956 Warsaw, Poland

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2012年 / 15卷 / 01期

关键词：

Collateralized debt obligations; loss process; single tranche CDO; term structure of forward spreads; Levy processes; market models; Libor rate;

D O I：

10.1142/S0219024911006462

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovic, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional Levy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we study the relation to market models by embedding them in the forward rate framework in spirit of Brace, Gatarek and Musiela (1997).

引用

页数：19