The law of large numbers for self-exciting correlated defaults
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Publication:436290
DOI10.1016/j.spa.2012.04.003zbMath1246.91143OpenAlexW2100493354MaRDI QIDQ436290
Jin Ma, Jakša Cvitanić, Jianfeng Zhang
Publication date: 20 July 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2012.04.003
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Credit risk (91G40)
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- Credit risk: Modelling, valuation and hedging
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