ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE

DOI10.1142/S0219024913500179zbMath1269.91046MaRDI QIDQ2841334

Akira Yamazaki

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500179

zbMATH Keywords

Gaussian process; proportional hazard model; Lévy process; time-changed Lévy process; affine process; event risk; quadratic Gaussian process

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

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