The following pages link to (Q3184722):
Displaying 48 items.
- On Cox processes and credit risky securities (Q375362) (← links)
- Sample-path large deviations in credit risk (Q410789) (← links)
- Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling (Q477067) (← links)
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (Q625306) (← links)
- The bivariate normal copula function is regularly varying (Q643238) (← links)
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes (Q657695) (← links)
- The \(\beta \)-variance gamma model (Q660161) (← links)
- Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
- The \(\beta\)-Meixner model (Q765298) (← links)
- Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform (Q896751) (← links)
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
- Stochastic differential equations applied to the study of geophysical and financial time series (Q1618960) (← links)
- Tempered stable structural model in pricing credit spread and credit default swap (Q1621638) (← links)
- Barrier style contracts under Lévy processes once again (Q1744875) (← links)
- CDS pricing with fractional Hawkes processes (Q2060433) (← links)
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market (Q2064595) (← links)
- A stage structured demographic model with ``no-regression'' growth: the case of constant development rate (Q2078632) (← links)
- Calibration for weak variance-alpha-gamma processes (Q2176361) (← links)
- Risk modelling on liquidations with Lévy processes (Q2246056) (← links)
- On the single name CDS price under structural modeling (Q2349607) (← links)
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas (Q2350047) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (Q2434751) (← links)
- Finite-time survival probability and credit default swaps pricing under geometric Lévy markets (Q2445987) (← links)
- Minimizing banking risk in a Lévy process setting (Q2472045) (← links)
- Notes on discrete compound Poisson model with applications to risk theory (Q2514632) (← links)
- Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes (Q2631807) (← links)
- Time-consistent evaluation of credit risk with contagion (Q2667125) (← links)
- The Gerber-Shiu discounted penalty function: a review from practical perspectives (Q2685511) (← links)
- Pricing CoCos with a Market Trigger (Q2801794) (← links)
- A structural jump threshold framework for credit risk (Q2819097) (← links)
- An extension of CreditGrades model approach with Lévy processes (Q2866399) (← links)
- Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes (Q2873143) (← links)
- Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches (Q3005365) (← links)
- METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
- STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES (Q3465020) (← links)
- PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL (Q3643589) (← links)
- (Q4544440) (← links)
- Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market (Q4555081) (← links)
- A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk (Q4609028) (← links)
- WHY DOES A HUMAN DIE? A STRUCTURAL APPROACH TO COHORT-WISE MORTALITY PREDICTION UNDER SURVIVAL ENERGY HYPOTHESIS (Q5157769) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST (Q5207935) (← links)
- Credit risk modeling with affine processes (Q5226704) (← links)
- (Q5501134) (← links)
- Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs (Q5867418) (← links)
- Survival energy models for mortality prediction and future prospects (Q6174086) (← links)
- Modeling credit portfolio derivatives, including both a default and a prepayment feature (Q6570852) (← links)
