An intensity-based approach for equity modeling

DOI10.1002/asmb.883zbMath1274.91466OpenAlexW2063757998MaRDI QIDQ2862438

Tim Friederich, Mikhail Krayzler, Marcos Escobar, Rudi Zagst, Luis A. Seco

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.883

zbMATH Keywords

Kalman filterreduced-form modeldefault processequity modeling

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Economic time series analysis (91B84) Corporate finance (dividends, real options, etc.) (91G50)

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