Time-changed CIR default intensities with two-sided mean-reverting jumps

DOI10.1214/13-AAP936zbMath1291.91225arXiv1403.5402OpenAlexW3123304167MaRDI QIDQ2448696

Vadim Linetsky, Rafael Mendoza-Arriaga

Publication date: 5 May 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.5402

zbMATH Keywords

defaultspectral expansionsubordinatortime changecredit spreadjump-diffusion processCox-Ingersoll-Ross processdefault intensitycredit derivativeBochner subordination

Mathematics Subject Classification ID

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