Sato Processes in Default Modelling (Q3063871): Difference between revisions

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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Pricing and trading credit default swaps in a hazard process model
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+Credit risk: Modelling, valuation and hedging
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+Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
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+THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
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+Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
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+Pricing options on realized variance
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+SELF-DECOMPOSABILITY AND OPTION PRICING
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+A Theory of the Term Structure of Interest Rates
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+A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
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+Sato processes and the valuation of structured products
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+On Models of Default Risk
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+Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
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+Credit Risk Modeling
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+Generalized Hyperbolic Diffusion Processes with Applications in Finance
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+Self-similar processes with independent increments
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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+Publication:3063871