A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
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Publication:3005958
DOI10.1142/S0219024911006346zbMath1214.91125OpenAlexW2004063298MaRDI QIDQ3005958
Jacques Janssen, Raimondo Manca, Guglielmo D'Amico
Publication date: 10 June 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024911006346
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Estimation for discrete-time semi-Markov reward processes: analysis and inference, A Copula-based Markov Reward Approach to the Credit Spread in the European Union, Strong Law of Large Numbers and Central Limit Theorems for Functionals of Inhomogeneous Semi-Markov Processes, ROCOF of higher order for semi-Markov processes
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