Codice QDD 106 Titolo Pricing Credit Derivatives in a Wiener-Hopf Framework Data 2011-09-12 Autore/i Marazzina, D., Fusai, G.; Germano, G. Link Download full text Abstract We present fast and accurate pricing techniques for credit derivative contracts when discrete monitoring is applied and the underlying evolves according to an exponential L´evy process. Our pricing approaches are related to theWiener-Hopf factorization, and their computational cost is independent of the number of monitoring dates. Numerical results are presented in order to validate the pricing algorithm. Moreover, an analysis on the sensitivity of the probability of default and the credit spread term structures with respect to the process parameters is considered.