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Paper / 2018SMQ / 84572951308092
Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling
Alexander Lipton / Christoph Reisinger / Vadim Kaushansky
brownian motion / partial differential equationsResource overview

Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling

Paper2018

by Alexander Lipton, Christoph Reisinger, Vadim Kaushansky

Tags
brownian motionpartial differential equationsstochastic processes

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Suggested foundations for stochastic processes and pricing and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Read conditional default and exposure quantities.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

Go further

  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance Explore Counterparty Credit Risk and CVA

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