Pages that link to "Item:Q1933756"
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The following pages link to A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives (Q1933756):
Displaying 9 items.
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823) (← links)
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065) (← links)
- Vasicek model with mixed-exponential jumps and its applications in finance and insurance (Q1712117) (← links)
- A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114) (← links)
- On a reduced form credit risk model with common shock and regime switching (Q2447411) (← links)
- Price discovery in the markets for credit risk: a Markov switching approach (Q2691657) (← links)
- Pricing credit derivatives in a Markov-modulated reduced-form model (Q2842530) (← links)
- A reduced model with thinning-dependence structure (Q2860078) (← links)
- SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL (Q3643588) (← links)
