A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114): Difference between revisions

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+DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
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+On the default probability in a regime-switching regulated market
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities
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+A General Formula for Valuing Defaultable Securities
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+A contagion model with Markov regime-switching intensities
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+A reduced-form model for correlated defaults with regime-switching shot noise intensities
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+Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
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+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
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+Q4323296
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+On a reduced form credit risk model with common shock and regime switching
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+A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
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+Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
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