Expectations of functions of stochastic time with application to credit risk modeling
Ovidiu Costin, Michael B. Gordy, Min Huang, Pawel J. Szerszen
| Year of publication: |
October 2016
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|---|---|
| Authors: | Costin, Ovidiu ; Gordy, Michael B. ; Huang, Min ; Szerszen, Pawel J. |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 4, p. 748-784
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| Subject: | time change | default intensity | credit risk | CDS options | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Stochastischer Prozess | Stochastic process | 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: | 10.1111/mafi.12082 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011583796