Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 18:28, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient solution of structural default models with correlated jumps and mutual obligations |
scientific article |
Statements
Efficient solution of structural default models with correlated jumps and mutual obligations (English)
0 references
29 April 2016
0 references
structural default model
0 references
joint survival probability
0 references
marginal survival probability
0 references
mutual liabilities
0 references
Lévy processes
0 references
PIDE
0 references
splitting
0 references
matrix exponential
0 references
