Pages that link to "Item:Q745333"

The following pages link to Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333):

Displaying 15 items.

• A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
• Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes (Q655929) (← links)
• Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333) (← links)
• Mortality modelling with Lévy processes (Q939382) (← links)
• A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions (Q1934478) (← links)
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes (Q1945501) (← links)
• Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination (Q2144199) (← links)
• Research on CDS pricing model with endogenous recovery rate (Q2207878) (← links)
• A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type (Q2661851) (← links)
• Sato Processes in Default Modelling (Q3063871) (← links)
• On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes (Q3182428) (← links)
• Exact simulation of tempered stable Ornstein–Uhlenbeck processes (Q5300752) (← links)
• NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS (Q5376999) (← links)
• Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework (Q6490771) (← links)
• Exact Bayesian Inference for Diffusion-Driven Cox Processes (Q6631689) (← links)