Basket CDS pricing with default intensities using a regime-switching shot-noise model (Q5154090): Difference between revisions

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+On the default probability in a regime-switching regulated market
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+Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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+A contagion model with Markov regime-switching intensities
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+Regime-switching shot-noise processes and longevity bond pricing
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+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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+Pricing basket default swaps in a tractable shot noise model
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+Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
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+A Markov copula model with regime switching and its application
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+On a reduced form credit risk model with common shock and regime switching
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+Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
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+An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
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+Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
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+Basket CDS pricing with interacting intensities
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