A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model
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Publication:6040400
DOI10.1016/j.enganabound.2023.01.033zbMath1521.91385MaRDI QIDQ6040400
Mohsen Razzaghi, Davood Damircheli, Seyed-Mohammad-Mahdi Kazemi, Ali Foroush Bastani
Publication date: 25 May 2023
Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)
regime switchingdefault probabilityradial basis function collocationstructural credit risk modeltempered stable Lévy processstrictly positive-definite functions
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Numerical radial basis function approximation (65D12)
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