Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394): Difference between revisions
From MaRDI portal
Latest revision as of 12:48, 16 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Sensitivity analysis for marked Hawkes processes: application to CLO pricing |
scientific article |
Statements
Sensitivity analysis for marked Hawkes processes: application to CLO pricing (English)
0 references
5 September 2018
0 references
change of probability
0 references
credit derivatives
0 references
Poisson processes
0 references
Hawkes processes
0 references
self-exciting structure
0 references
sensitivity analysis
0 references
0 references