Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497): Difference between revisions
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Latest revision as of 09:37, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient solution of structural default models with correlated jumps and mutual obligations |
scientific article |
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Efficient solution of structural default models with correlated jumps and mutual obligations (English)
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29 April 2016
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structural default model
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joint survival probability
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marginal survival probability
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mutual liabilities
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Lévy processes
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PIDE
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splitting
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matrix exponential
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