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Martingale estimation of Lévy processes and its extension to structural credit risk models.

Lam, Ho Man. / "August 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 42-43). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Levy Process --- p.5 / Chapter 2.1 --- Merton's Jump-Diffusion model (1976) --- p.8 / Chapter 2.2 --- Estimation of Levy processes --- p.9 / Chapter 3 --- Transform Martingale Estimation --- p.11 / Chapter 3.1 --- Maximum Likelihood Estimation --- p.11 / Chapter 3.2 --- Transform Martingale Estimating Functions --- p.13 / Chapter 3.2.1 --- Transform Quasi-Score Function --- p.15 / Chapter 3.2.2 --- Composite Quasi-Score Function --- p.17 / Chapter 3.2.3 --- Implementation Issue --- p.18 / Chapter 3.2.4 --- Transform Martingale Estimation on Levy process --- p.21 / Chapter 4 --- Structural Models of Credit Risk --- p.22 / Chapter 4.1 --- Overview --- p.22 / Chapter 4.2 --- Merton's structural credit risk model (1974) --- p.23 / Chapter 4.3 --- Estimation Methodologies --- p.24 / Chapter 4.4 --- Martingale Estimation with KMV's Method --- p.26 / Chapter 5 --- Simulation Study --- p.28 / Chapter 5.1 --- Equity Estimation --- p.28 / Chapter 5.2 --- Estimation of Structural Models --- p.37 / Chapter 6 --- Conclusion --- p.41 / Bibliography --- p.42

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327185
Date January 2010
ContributorsLam, Ho Man., Chinese University of Hong Kong Graduate School. Division of Risk Management Science.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vi, 43 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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