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scientific article; zbMATH DE number 1775715 - MaRDI portal

scientific article; zbMATH DE number 1775715

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Publication:4544440

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zbMath1001.91055MaRDI QIDQ4544440

Fehmi Özkan

Publication date: 4 August 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processes credit risk portfolios Gamma distributions Libor market models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Default prediction with the Merton-type structural model based on the NIG Lévy process

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