Conditional Markov chains: properties, construction and structured dependence (Q516008): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Removed claim: author (P16): Item:Q638345
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / author
 
Property / author: Mariusz Andrzej Niewȩgłowski / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.spa.2016.07.010 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2514139331 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale representation theorems for initially enlarged filtrations. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lumpability and marginalisability for continuous-time Markov chains / rank
 
Normal rank
Property / cites work
 
Property / cites work: Intensity-based premium evaluation for unemployment insurance products / rank
 
Normal rank
Property / cites work
 
Property / cites work: COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic hedging of portfolio credit risk in a Markov copula model / rank
 
Normal rank
Property / cites work
 
Property / cites work: VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Study of dependence for some stochastic processes: symbolic Markov copulae / rank
 
Normal rank
Property / cites work
 
Property / cites work: Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Markov chains – construction and properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Study of Dependence for Some Stochastic Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiple Ratings Model of Defaultable Term Structure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Credit risk: Modelling, valuation and hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dependent defaults and credit migrations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling of the Defaultable Term Structure: Conditionally Markov Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Point processes and queues. Martingale dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Markovian Function of a Markov Chain / rank
 
Normal rank
Property / cites work
 
Property / cites work: RATING BASED LÉVY LIBOR MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Defaultable Lévy Term Structure: Ratings and Restructuring / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3721531 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A survey of product-integration with a view toward application in survival analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Investigating Causal Relations by Econometric Models and Cross-spectral Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4274285 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4303969 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3534752 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A class of \(\mathbb F\)-doubly stochastic Markov chains / rank
 
Normal rank
Property / cites work
 
Property / cites work: Defaultable bonds with an infinite number of Lévy factors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$-doubly Stochastic Markov Chains / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Markov consistency of Archimedean survival processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematical methods for financial markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4435813 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Modification Theorems / rank
 
Normal rank

Latest revision as of 14:22, 13 July 2024

scientific article
Language Label Description Also known as
English
Conditional Markov chains: properties, construction and structured dependence
scientific article

    Statements

    Conditional Markov chains: properties, construction and structured dependence (English)
    0 references
    20 March 2017
    0 references
    0 references
    conditional Markov chain
    0 references
    doubly stochastic Markov chain
    0 references
    compensator of a random measure
    0 references
    change of probability measure
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references