A Markov regime-switching marked point process for short-rate analysis with credit risk

DOI10.1155/2010/870516zbMath1203.91304WikidataQ58651970 ScholiaQ58651970MaRDI QIDQ611051

Tak Kuen Siu

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

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

91G40: Credit risk

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