Default Times in a Continuous Time Markov Chain Economy

DOI10.1080/1350486X.2012.755825zbMath1396.91821OpenAlexW2031858479MaRDI QIDQ4584997

Robert J. Elliott, John van der Hoek

Publication date: 5 September 2018

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

Full work available at URL: https://doi.org/10.1080/1350486x.2012.755825

zbMATH Keywords

Markov chaincredit riskcontinuous timedefault timestochastic discount function

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial science and mathematical finance (91G99)

Related Items (1)

Imprecise continuous-time Markov chains

Cites Work

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• Functional Integration and Partial Differential Equations. (AM-109)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• American option prices in a Markov chain market model
• Credit risk: Modelling, valuation and hedging

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