First passage time for multivariate jump-diffusion processes in finance and other areas of applications

DOI10.1002/asmb.745zbMath1224.91176OpenAlexW4243912334MaRDI QIDQ3077491

Dianzhou Zhang, Roderick V. Nicholas Melnik

Publication date: 22 February 2011

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.745

zbMATH Keywords

stochastic differential equationsjump-diffusion processesmultiscale problemsdefault correlationsfirst passage time problemsmodified Monte Carlo algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Credit risk (91G40)

Related Items (9)

First passage statistics of active random walks on one and two dimensional lattices ⋮ A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries ⋮ Weak convergence of marked point processes generated by crossings of multivariate jump processes. applications to neural network modeling ⋮ A phase transition in the first passage of a Brownian process through a fluctuating boundary with implications for neural coding ⋮ The intensity model for pricing credit securities with jump diffusion and counterparty risk ⋮ A mathematical model for multi-name credit based on community flocking ⋮ A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications ⋮ AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY ⋮ Mean first passage time and absorption probabilities of a Lévy flier on a finite interval: discrete space and continuous limit via Fock space approach

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