Pages that link to "Item:Q269364"
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The following pages link to Structural credit risk modelling with Hawkes jump diffusion processes (Q269364):
Displaying 20 items.
- Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
- Bayesian analysis of structural credit risk models with microstructure noises (Q609830) (← links)
- Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (Q1423367) (← links)
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
- Valuation of equity-indexed annuities under correlated jump-diffusion processes (Q2029647) (← links)
- Pricing power exchange options with Hawkes jump diffusion processes (Q2031319) (← links)
- CDS pricing with fractional Hawkes processes (Q2060433) (← links)
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes (Q2164552) (← links)
- Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests (Q2166070) (← links)
- On the probability of default in a market with price clustering and jump risk (Q2175460) (← links)
- A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' (Q2195929) (← links)
- Time-consistent evaluation of credit risk with contagion (Q2667125) (← links)
- A structural jump threshold framework for credit risk (Q2819097) (← links)
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk (Q2842534) (← links)
- STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES (Q3465020) (← links)
- Clustering Effects via Hawkes Processes (Q5132613) (← links)
- Exchange options under clustered jump dynamics (Q5139207) (← links)
- A Structural Approach to Default Modelling with Pure Jump Processes (Q5165003) (← links)
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives (Q6044248) (← links)
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk (Q6569141) (← links)
