Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
type: Item
instance of: scholarly article
title: Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
zbMATH Open document ID: 1433.91184
author: Jessica Cariboni
author: Wim Schoutens
published in: Metrika
publication date: 2015-10-14T00:00:00Z
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 6493842
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: credit risk
zbMATH Keywords: survival probability
zbMATH Keywords: intensity-based model
zbMATH Keywords: credit default swap
describes a project that uses: fminsearch
MaRDI profile type: Publication
full work available at URL: s00184-008-0213-4
OpenAlex ID: W2031291388
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DOI: 10.1007/S00184-008-0213-4
description: scientific article; zbMATH DE number 6493842