A Markov regime-switching marked point process for short-rate analysis with credit risk
From MaRDI portal
Publication:611051
DOI10.1155/2010/870516zbMath1203.91304WikidataQ58651970 ScholiaQ58651970MaRDI QIDQ611051
Publication date: 14 December 2010
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/230475
60J22: Computational methods in Markov chains
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
91G40: Credit risk
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