Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models (Q5022544): Difference between revisions

Latest revision as of 18:10, 27 July 2024

scientific article; zbMATH DE number 7459583

Language	Label	Description	Also known as
English	Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models	scientific article; zbMATH DE number 7459583

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instance of

scholarly article

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title

Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models (English)

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North American Actuarial Journal

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publication date

19 January 2022

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10920277.2008.10597521

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cites work

Exact asymptotics for the probability of exit from a domain and applications to simulation

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Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

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Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

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Q4269108

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Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.

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Q3134548

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Asymptotic series and exit time probabilities

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Q4225410

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Weak approximation of killed diffusion using Euler schemes.

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An introduction to copulas. Properties and applications

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Some Applications and Methods of Large Deviations in Finance and Insurance

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Q4865050

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Identifiers

zbMATH Open document ID

1481.91219

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DOI

10.1080/10920277.2008.10597521

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5022544

@@ Property / cites work @@
+Exact asymptotics for the probability of exit from a domain and applications to simulation
+Normal rank
@@ Property / cites work @@
+Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
+Normal rank
@@ Property / cites work @@
+Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
+Normal rank
@@ Property / cites work @@
+Q3134548
@@ Property / cites work: Q3134548 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic series and exit time probabilities
@@ Property / cites work: Asymptotic series and exit time probabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4225410
@@ Property / cites work: Q4225410 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak approximation of killed diffusion using Euler schemes.
+Normal rank
@@ Property / cites work @@
+Double Lookbacks
@@ Property / cites work: Double Lookbacks / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3923307
@@ Property / cites work: Q3923307 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas. Properties and applications
+Normal rank
@@ Property / cites work @@
+Some Applications and Methods of Large Deviations in Finance and Insurance
+Normal rank
@@ Property / cites work @@
+Q4865050
@@ Property / cites work: Q4865050 / rank @@
+Normal rank