EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING

DOI10.1111/MAFI.12082zbMath1348.91298OpenAlexW2264201393MaRDI QIDQ2831002

Michael B. Gordy, Pawel J. Szerszen, Min Huang, Ovidiu Costin

Publication date: 1 November 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12082

zbMATH Keywords

credit risktime changedefault intensityCDS options

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Stochastic integral equations (60H20) Credit risk (91G40)

Related Items (1)

Stochastic distortion and its transformed copula

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