Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models (Q5022544): Difference between revisions

Latest revision as of 18:10, 27 July 2024

scientific article; zbMATH DE number 7459583

Language	Label	Description	Also known as
English	Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models	scientific article; zbMATH DE number 7459583

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instance of

scholarly article

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title

Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models (English)

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North American Actuarial Journal

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publication date

19 January 2022

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10920277.2008.10597521

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cites work

Exact asymptotics for the probability of exit from a domain and applications to simulation

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Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

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Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

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Q4269108

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Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.

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Q3134548

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Asymptotic series and exit time probabilities

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Q4225410

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Weak approximation of killed diffusion using Euler schemes.

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An introduction to copulas. Properties and applications

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Some Applications and Methods of Large Deviations in Finance and Insurance

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Q4865050

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Identifiers

zbMATH Open document ID

1481.91219

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DOI

10.1080/10920277.2008.10597521

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5022544

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