Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497)
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scientific article; zbMATH DE number 6575426
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| English | Efficient solution of structural default models with correlated jumps and mutual obligations |
scientific article; zbMATH DE number 6575426 |
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Efficient solution of structural default models with correlated jumps and mutual obligations (English)
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29 April 2016
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structural default model
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joint survival probability
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marginal survival probability
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mutual liabilities
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Lévy processes
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PIDE
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splitting
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matrix exponential
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0.8377565145492554
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0.7606465816497803
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0.7555109858512878
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0.7446058988571167
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0.7404074668884277
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