Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk (Q5407022): Difference between revisions

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scientific article; zbMATH DE number 6279823

Language	Label	Description	Also known as
English	Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk	scientific article; zbMATH DE number 6279823

Statements

instance of

scholarly article

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title

Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk (English)

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author

Holger Fink

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published in

Journal of Applied Probability

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publication date

4 April 2014

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full work available at URL

https://projecteuclid.org/euclid.jap/1389370095

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zbMATH Keywords

conditional characteristic function

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macroeconomic variables process

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long-range dependence

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fractional Brownian motion

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fractional Lévy process

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prediction

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MaRDI profile type

MaRDI publication profile

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cites work

Lévy Processes and Stochastic Calculus

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Identification and properties of real harmonizable fractional Lévy motions

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On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half

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Stochastic calculus for convoluted Lévy processes

0 references

Integrating Volatility Clustering Into Exponential Lévy Models

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A fractional credit model with long range dependent default rate

0 references

Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

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Credit risk: Modelling, valuation and hedging

0 references

Q3276933

0 references

Fractional integral equations and state space transforms

0 references

Q4682145

0 references

Affine processes and applications in finance

0 references

Prediction for some processes related to a fractional Brownian motion

0 references

A General Fractional White Noise Theory And Applications To Finance

0 references

Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations

0 references

Conditional Distributions of Processes Related to Fractional Brownian Motion

0 references

PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES

0 references

Q4407616

0 references

Q3992729

0 references

Transformation formulas for fractional Brownian motion

0 references

Generalized fractional Lévy processes with fractional Brownian motion limit

0 references

Continuity and boundedness of infinitely divisible processes: A Poisson point process approach

0 references

Fractional Lévy processes with an application to long memory moving average processes

0 references

Multivariate fractionally integrated CARMA processes

0 references

On the $\gamma$-Variation of Processes with Stationary Independent Increments

0 references

Fractional term structure models: No-arbitrage and consistency

0 references

Integration questions related to fractional Brownian motion

0 references

Are classes of deterministic integrands for fractional Brownian motion on an interval complete?

0 references

Spectral representations of infinitely divisible processes

0 references

Elements of Stochastic Calculus via Regularization

0 references

Q3141895

0 references

Q4301585

0 references

Q4937701

0 references

Additive processes and stochastic integrals

0 references

Fractional Lévy Processes as a Result of Compact Interval Integral Transformation

0 references

An inequality of the Hölder type, connected with Stieltjes integration

0 references

Integration with respect to fractal functions and stochastic calculus. I

0 references

Integration with respect to Fractal Functions and Stochastic Calculus II

0 references

Identifiers

zbMATH Open document ID

1294.60070

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DOI

10.1239/jap/1389370095

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5407022

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@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Identification and properties of real harmonizable fractional Lévy motions
+Normal rank
@@ Property / cites work @@
+On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for convoluted Lévy processes
+Normal rank
@@ Property / cites work @@
+Integrating Volatility Clustering Into Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+A fractional credit model with long range dependent default rate
+Normal rank
@@ Property / cites work @@
+Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q3276933
@@ Property / cites work: Q3276933 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional integral equations and state space transforms
+Normal rank
@@ Property / cites work @@
+Q4682145
@@ Property / cites work: Q4682145 / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Prediction for some processes related to a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+A General Fractional White Noise Theory And Applications To Finance
+Normal rank
@@ Property / cites work @@
+Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Conditional Distributions of Processes Related to Fractional Brownian Motion
+Normal rank
@@ Property / cites work @@
+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
+Normal rank
@@ Property / cites work @@
+Q4407616
@@ Property / cites work: Q4407616 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Transformation formulas for fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Generalized fractional Lévy processes with fractional Brownian motion limit
+Normal rank
@@ Property / cites work @@
+Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
+Normal rank
@@ Property / cites work @@
+Fractional Lévy processes with an application to long memory moving average processes
+Normal rank
@@ Property / cites work @@
+Multivariate fractionally integrated CARMA processes
+Normal rank
@@ Property / cites work @@
+On the $\gamma$-Variation of Processes with Stationary Independent Increments
+Normal rank
@@ Property / cites work @@
+Fractional term structure models: No-arbitrage and consistency
+Normal rank
@@ Property / cites work @@
+Integration questions related to fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
+Normal rank
@@ Property / cites work @@
+Spectral representations of infinitely divisible processes
+Normal rank
@@ Property / cites work @@
+Elements of Stochastic Calculus via Regularization
+Normal rank
@@ Property / cites work @@
+Q3141895
@@ Property / cites work: Q3141895 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Additive processes and stochastic integrals
@@ Property / cites work: Additive processes and stochastic integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Lévy Processes as a Result of Compact Interval Integral Transformation
+Normal rank
@@ Property / cites work @@
+An inequality of the Hölder type, connected with Stieltjes integration
+Normal rank
@@ Property / cites work @@
+Integration with respect to fractal functions and stochastic calculus. I
+Normal rank
@@ Property / cites work @@
+Integration with respect to Fractal Functions and Stochastic Calculus II
+Normal rank