Valuing clustering in catastrophe derivatives (Q2879024): Difference between revisions

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+Modelling security market events in continuous time: intensity based, multivariate point process models
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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+Option pricing for pure jump processes with Markov switching compensators
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+Two singular diffusion problems
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+Spectra of some self-exciting and mutually exciting point processes
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