Pages that link to "Item:Q3055867"
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The following pages link to Affine Point Processes and Portfolio Credit Risk (Q3055867):
Displaying 29 items.
- PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530) (← links)
- TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK (Q2851562) (← links)
- Central Limit Theorem for Nonlinear Hawkes Processes (Q2854079) (← links)
- Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis (Q2873543) (← links)
- Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps (Q2923430) (← links)
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
- A dynamic contagion process (Q3173006) (← links)
- Simulating Risk Contributions of Credit Portfolios (Q3195233) (← links)
- An elementary derivation of moments of Hawkes processes (Q3298815) (← links)
- Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
- DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (Q4635039) (← links)
- Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator (Q4994164) (← links)
- (Q5001931) (← links)
- Modelling social media contagion using Hawkes processes (Q5064477) (← links)
- An ephemerally self-exciting point process (Q5084789) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- (Q5242986) (← links)
- A test for independence between a point process and an analogue signal (Q5397957) (← links)
- Credit portfolio selection with decaying contagion intensities (Q5743120) (← links)
- Matrix calculations for moments of Markov processes (Q6043463) (← links)
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives (Q6044248) (← links)
- Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672) (← links)
- Asymptotic results for a class of Markovian self-exciting processes (Q6088842) (← links)
- Nonlinear Poisson autoregression and nonlinear Hawkes processes (Q6098998) (← links)
- Hierarchy of temporal responses of multivariate self-excited epidemic processes (Q6135213) (← links)
- Limit theorems for an extended inverse Hawkes process with general exciting functions (Q6165373) (← links)
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks (Q6173879) (← links)
- A palm space approach to non-linear Hawkes processes (Q6186447) (← links)
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
