Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394)
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scientific article; zbMATH DE number 6932268
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Sensitivity analysis for marked Hawkes processes: application to CLO pricing |
scientific article; zbMATH DE number 6932268 |
Statements
Sensitivity analysis for marked Hawkes processes: application to CLO pricing (English)
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5 September 2018
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change of probability
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credit derivatives
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Poisson processes
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Hawkes processes
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self-exciting structure
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sensitivity analysis
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0.7532910704612732
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0.7457448840141296
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0.744167149066925
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0.7425304055213928
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0.7324564456939697
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