PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Set OpenAlex properties.
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Introduction to Credit Risk Modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling security market events in continuous time: intensity based, multivariate point process models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Markov‐modulated Exponential‐affine Bond Price Formulae / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal portfolio choice under Markovian regime-switching model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio risk minimization and differential games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Affine Point Processes and Portfolio Credit Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Top-Down Approach to Multiname Credit / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4161595 / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1142/s0219024913500180 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2082225832 / rank
 
Normal rank

Latest revision as of 10:03, 30 July 2024

scientific article
Language Label Description Also known as
English
PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL
scientific article

    Statements

    PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (English)
    0 references
    0 references
    0 references
    0 references
    15 August 2013
    0 references
    affine point processes
    0 references
    Markov switching
    0 references
    Hawkes process
    0 references
    credit spread
    0 references
    CDO
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references