Tractable multi-firm default models based on discontinuous processes [Elektronische Ressource] / vorgelegt von Matthias Scherer

ECOD·ODNEICS·MLUTÄTUniversitat Ulm¨Institute of Mathematical FinanceTractable multi-firm default modelsbased on discontinuous processesDissertationzur Erlangung des DoktorgradesDr. rer. nat.der Fakultat fur Mathematik und Wirtschaftswissenschaften¨ ¨der Universitat Ulm¨vorgelegt vonDipl.-Math. oec. Matthias Scherer, M.S.ausBiberach an der RißUlm, im Februar 2007ISREVINU·ODNARUC·ODNAmtierender Dekan: Professor Dr. Frank Stehling1. Gutachter: Professor Dr. Ru¨diger Kiesel, Universit¨at Ulm2. Gutachter: Professor Dr. Ulrich Stadtmu¨ller, Universit¨at Ulm3. Gutachter: Professor Dr. Wim Schoutens, K.U. LeuvenTag der Promotion: 7. Mai 2007PrefaceThe aim of this thesis is to contribute to the ongoing research in structural credit-risk models based on jump-diffusion processes. It concludes my doctorate researchwhich was carried out at the Institute of Mathematical Finance at the Universit¨atUlm intheperiodspring2005tospring2007. MyworkwassupervisedbyProfessorRu¨diger Kiesel and Professor Ulrich Stadtmu¨ller, both Universita¨t Ulm.AcknowledgmentsFirst and foremost I would like to express my deepest gratitude to Professor Ru¨di-ger Kiesel for guiding and supporting me over the last two years. His friendlinessprovides a working atmosphere athis institute which makes researching and teach-ing enjoyable day-to-day. Moreover, it is always a pleasure and benefit to discussmathematical and other problems with him.