On the conditional default probability in a regulated market: a structural approach
From MaRDI portal
Publication:2866382
DOI10.1080/14697680903473278zbMath1277.91181MaRDI QIDQ2866382
Xuewei Yang, Dan Tang, Yong Jin Wang, Li Jun Bo
Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903473278
91G40: Credit risk
Related Items
Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market, FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES, A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes, Optimal pricing barriers in a regulated market using reflected diffusion processes, On pricing barrier control in a regime-switching regulated market, On the conditional default probability in a regulated market with jump risk, Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models, Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes, Nadaraya-Watson estimators for reflected stochastic processes, Default probability estimation via pair copula constructions, On the reflected Ornstein-Uhlenbeck process with catastrophes, Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, A note on transition density for the reflected Ornstein-Uhlenbeck process, Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling, Optimal processing rate and buffer size of a jump-diffusion processing system, Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations, Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes, Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes, Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises, Lévy risk model with two-sided jumps and a barrier dividend strategy, On the default probability in a regime-switching regulated market, Skew Ornstein-Uhlenbeck processes and their financial applications, Parameter estimation for generalized diffusion processes with reflected boundary, A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes
Cites Work
- On the first passage times of reflected O-U processes with two-sided barriers
- Affine processes and applications in finance
- Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
- Stochastic differential equations with reflecting boundary conditions
- Term Structures of Credit Spreads with Incomplete Accounting Information
- On the transition densities for reflected diffusions
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1