A structural model for credit risk with switching processes and synchronous jumps
Donatien Hainaut and David B. Colwell
| Year of publication: |
August-September 2016
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|---|---|
| Authors: | Hainaut, Donatien ; Colwell, David B. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 10/12, p. 1040-1062
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| Subject: | credit risk | Lévy processes | switching regimes | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2014.924079 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011715297