Pages that link to "Item:Q3400133"

The following pages link to CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (Q3400133):

Displaying 17 items.

• Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
• Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
• A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
• Clustered Lévy processes and their financial applications (Q515759) (← links)
• A note on first-passage times of continuously time-changed Brownian motion (Q654495) (← links)
• Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
• The randomized first-hitting problem of continuously time-changed Brownian motion (Q1634350) (← links)
• Extended Black and Scholes model under bankruptcy risk (Q2011269) (← links)
• Some characterizations for Brownian motion with Markov switching (Q2060874) (← links)
• Modeling stochastic mortality for joint lives through subordinators (Q2212170) (← links)
• First-passage times of regime switching models (Q2251701) (← links)
• EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING (Q2831002) (← links)
• On the First Passage time for Brownian Motion Subordinated by a Lévy Process (Q3621155) (← links)
• A mathematical model for multi-name credit based on community flocking (Q4683101) (← links)
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
• CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (Q5420702) (← links)
• Collective behaviors of stochastic agent-based models and applications to finance and optimization (Q6133473) (← links)