A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA (Q4555855): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05673
@@ Property / arXiv ID: 1801.05673 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
+Normal rank
@@ Property / cites work @@
+Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
+Normal rank
@@ Property / cites work @@
+Conic martingales from stochastic integrals
@@ Property / cites work: Conic martingales from stochastic integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Time-changed CIR default intensities with two-sided mean-reverting jumps
+Normal rank
@@ Property / cites work @@
+WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
+Normal rank
@@ Property / OpenAlex ID @@
+W2963968271
@@ Property / OpenAlex ID: W2963968271 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4555855