A Markov regime-switching marked point process for short-rate analysis with credit risk

DOI10.1155/2010/870516zbMath1203.91304OpenAlexW2009171974WikidataQ58651970 ScholiaQ58651970MaRDI QIDQ611051

Tak Kuen Siu

Publication date: 14 December 2010

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/230475

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

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