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CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION - MaRDI portal

CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (Q3400133)

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CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
scientific article

    Statements

    title
    CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (English)
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    author
    T. R. Hurd
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    publication date
    5 February 2010
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    zbMATH Keywords
    credit risk
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    structural credit model
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    time change
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    Lévy process
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    first passage time
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    default probability
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    credit derivative
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G80
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    60J75
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    60G51
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    91G20
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    zbMATH DE Number
    5666272
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    arXiv ID
    0904.2376
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    OpenAlex ID
    W2084547039
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