Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient solution of structural default models with correlated jumps and mutual obligations |
scientific article; zbMATH DE number 6575426
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient solution of structural default models with correlated jumps and mutual obligations |
scientific article; zbMATH DE number 6575426 |
Statements
Efficient solution of structural default models with correlated jumps and mutual obligations (English)
0 references
29 April 2016
0 references
structural default model
0 references
joint survival probability
0 references
marginal survival probability
0 references
mutual liabilities
0 references
Lévy processes
0 references
PIDE
0 references
splitting
0 references
matrix exponential
0 references
0 references
0 references
0 references
0 references
