Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497): Difference between revisions

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Property / arXiv ID: 1408.6513 / rank
 
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Latest revision as of 22:10, 11 July 2024

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Efficient solution of structural default models with correlated jumps and mutual obligations
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    Efficient solution of structural default models with correlated jumps and mutual obligations (English)
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    29 April 2016
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    structural default model
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    joint survival probability
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    marginal survival probability
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    mutual liabilities
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    Lévy processes
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    PIDE
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    splitting
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    matrix exponential
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