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.1Chapter 2 --- Levy Process --- p.5Chapter 2.1 --- Merton's Jump-Diffusion model (1976) --- p.8Chapter 2.2 --- Estimation of Levy processes --- p.9Chapter 3 --- Transform Martingale Estimation --- p.11Chapter 3.1 --- Maximum Likelihood Estimation --- p.11Chapter 3.2 --- Transform Martingale Estimating Functions --- p.13Chapter 3.2.1 --- Transform Quasi-Score Function --- p.15Chapter 3.2.2 --- Composite Quasi-Score Function --- p.17Chapter 3.2.3 --- Implementation Issue --- p.18Chapter 3.2.4 --- Transform Martingale Estimation on Levy process --- p.21Chapter 4 --- Structural Models of Credit Risk --- p.22Chapter 4.1 --- Overview --- p.22Chapter 4.2 --- Merton's structural credit risk model (1974) --- p.23Chapter 4.3 --- Estimation Methodologies --- p.24Chapter 4.4 --- Martingale Estimation with KMV's Method --- p.26Chapter 5 --- Simulation Study --- p.28Chapter 5.1 --- Equity Estimation --- p.28Chapter 5.2 --- Estimation of Structural Models --- p.37Chapter 6 --- Conclusion --- p.41Bibliography --- p.4