Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578): Difference between revisions

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-Q1413281
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-Guo-jing Wang
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+Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
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+Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.3934/jimo.2016079
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+W2531613812
@@ Property / OpenAlex ID: W2531613812 / rank @@
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@@ Property / cites work @@
+VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
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@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
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@@ Property / cites work @@
+Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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+A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
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+Time-Changed Birth Processes and Multiname Credit Derivatives
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+Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
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+A reduced-form model for correlated defaults with regime-switching shot noise intensities
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+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
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@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
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+Default Times in a Continuous-Time Markovian Regime Switching Model
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+Longevity bond pricing under stochastic interest rate and mortality with regime-switching
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+Publication:2397578