A model of credit risk derived by mixed-bi-fractional Brownian motion (Q4926602)
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scientific article; zbMATH DE number 6178846
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| English | A model of credit risk derived by mixed-bi-fractional Brownian motion |
scientific article; zbMATH DE number 6178846 |
Statements
20 June 2013
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credit risk
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mixed-bi-fractional Brownian motion
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default probability
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price of bonds
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value of stocks
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credit spreads
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\texttt{Matlab}
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0.7811516523361206
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0.77071613073349
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0.7695870995521545
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0.7671484351158142
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0.7663511633872986
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