A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361): Difference between revisions

@@ Property / author @@
-Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
-Normal rank
@@ Property / author @@
-Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
-Normal rank
@@ Property / author @@
+Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
+Normal rank
@@ Property / author @@
+Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11009-014-9431-6
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@@ Property / OpenAlex ID @@
+W2038428139
@@ Property / OpenAlex ID: W2038428139 / rank @@
+Normal rank
@@ Property / cites work @@
+Short rate nonlinearities and regime switches.
@@ Property / cites work: Short rate nonlinearities and regime switches. / rank @@
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+CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Affine processes and applications in finance
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
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@@ links / mardi / name / links / mardi / name @@
+Publication:292361