We employ methods for spectrally negative processes to efficiently price Credit Default Swaps. A number of processes are considered, including CMY, the one sided form of CGMY.

Paper: Dilip B. Madan and Wim Schoutens, Break on Through to the Single Side

Currently in Australia as a Distinguished Visitor of the Financial Integrity Research Network (FIRN), Dilip Madan is Professor of Finance at the Robert H. Smith School of Business at the University of Maryland. His visit is sponsored by Q-Group Australia.

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