A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes
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Publication:2195929
DOI10.1016/j.cam.2020.113037zbMath1447.91187OpenAlexW3033739108MaRDI QIDQ2195929
Xiaoping Lu, Puneet Pasricha, Song-Ping Zhu
Publication date: 28 August 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113037
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A Structural Approach to Default Modelling with Pure Jump Processes ⋮ Pricing path-dependent options under the Hawkes jump diffusion process
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