Pages that link to "Item:Q2842534"
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The following pages link to Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk (Q2842534):
Displaying 13 items.
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- Valuing credit default swap under a double exponential jump diffusion model (Q462273) (← links)
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333) (← links)
- Feynman-Kac for functional jump diffusions with an application to credit value adjustment (Q894585) (← links)
- Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (Q1423367) (← links)
- Decomposition of default probability under a structural credit risk model with jumps (Q1936262) (← links)
- A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' (Q2195929) (← links)
- Valuing credit derivatives in a jump-diffusion model (Q2383797) (← links)
- A structural credit risk model with stochastic volatility and jumps (Q2815806) (← links)
- Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps (Q3014981) (← links)
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
- SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL (Q3643588) (← links)
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING (Q5114682) (← links)
