Sato Processes in Default Modelling (Q3063871)

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Sato Processes in Default Modelling
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    title
    Sato Processes in Default Modelling (English)
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    author
    Thomas Kokholm
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    Elisa Nicolato
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    publication date
    15 December 2010
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    Mathematics Subject Classification ID
    91G40
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    60G18
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    60G51
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    zbMATH DE Number
    5827268
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    zbMATH Keywords
    credit default swap
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    reduced form model
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    Sato process
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    time-changed Lévy process
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    cumulative hazard
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    OpenAlex ID
    W2065449236
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