A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes

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

zbMATH Keywords

default clusteringdefault correlationHawkes processjump clustering

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (2)

A Structural Approach to Default Modelling with Pure Jump Processes ⋮ Pricing path-dependent options under the Hawkes jump diffusion process

Cites Work

• Structural credit risk modelling with Hawkes jump diffusion processes
• Affine processes and applications in finance
• Three-person multi-objective conflict decision in reservoir flood control
• Pricing European call options under a hard-to-borrow stock model

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