Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394): Difference between revisions

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Latest revision as of 12:48, 16 July 2024

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Sensitivity analysis for marked Hawkes processes: application to CLO pricing
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    Sensitivity analysis for marked Hawkes processes: application to CLO pricing (English)
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    5 September 2018
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    change of probability
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    credit derivatives
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    Poisson processes
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    Hawkes processes
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    self-exciting structure
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    sensitivity analysis
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