Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity analysis for marked Hawkes processes: application to CLO pricing |
scientific article |
Statements
Sensitivity analysis for marked Hawkes processes: application to CLO pricing (English)
0 references
5 September 2018
0 references
change of probability
0 references
credit derivatives
0 references
Poisson processes
0 references
Hawkes processes
0 references
self-exciting structure
0 references
sensitivity analysis
0 references
0 references
