TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK

DOI10.1111/j.1467-9965.2011.00512.xzbMath1275.91102OpenAlexW3124387901MaRDI QIDQ2851562

Kay Giesecke, Shi-Lin Zhu

Publication date: 11 October 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00512.x

zbMATH Keywords

point processcompensatortransformequivalent measure change

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (7)

A reduced-form model for correlated defaults with regime-switching shot noise intensities ⋮ Exponential Martingales and Changes of Measure for Counting Processes ⋮ Determination of system dimensionality from observing near-normal distributions ⋮ Reducing Bias in Event Time Simulations via Measure Changes ⋮ Sensitivity analysis for marked Hawkes processes: application to CLO pricing ⋮ Generalized Cox model for default times ⋮ A weak convergence criterion for constructing changes of measure

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