Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Structural pricing of CoCos and deposit insurance with regime switching and jumps |
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Structural pricing of CoCos and deposit insurance with regime switching and jumps (English)
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30 June 2021
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structural model
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regime switching
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jump-diffusion
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first passage time
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matrix Wiener-Hopf factorization
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esscher transform
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CoCos
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deposit insurance
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