Structural Default Models with Jumps

• exposé

Structural Default Models with Jumps Diplomarbeit an der Universitat Ulm Fakultat fur Mathematik und Wirtschaftwissenschaften Johannes Karl Dominik Ruf Juni 2006

• laplace-transform approach
• brownian-bridge pricing technique
• jump-diffusion process
• quality of the bond price
• default threshold
• characteristic function
• probability of default
• probability of a default
• bond
• model
• time