A mathematical model for multi-name credit based on community flocking
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Publication:4683101
DOI10.1080/14697688.2012.744085zbMath1398.91642OpenAlexW1991741468MaRDI QIDQ4683101
Kiseop Lee, Seung-Yeal Ha, Kyoung-Kuk Kim
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.744085
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (7)
Collective behaviors of stochastic agent-based models and applications to finance and optimization ⋮ Impacts of time delay on flocking dynamics of a two-agent flock model ⋮ Volatility flocking by Cucker-Smale mechanism in financial markets ⋮ Optimal market-making strategies under synchronised order arrivals with deep neural networks ⋮ Market coordination under non-equilibrium dynamics ⋮ On the Cucker-Smale flocking with alternating leaders ⋮ Collision-avoidance and flocking in the Cucker-Smale-type model with a discontinuous controller
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