13 citations · 17 across the 26 of their papers we have counts for
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q-fin.MF2026
Multi-Credit Calibration via Elastically Stopped Lévy Processes
Graeme Baker, Agostino Capponi
We calibrate credit default swaps and index tranches with elastically stopped Lévy processes: each firm defaults when the running supremum of a latent, spectrally positive distress…
q-fin.MF2018
Portfolio Choice with Market-Credit Risk Dependencies
Lijun Bo, Agostino Capponi
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility…