Modelling credit risk in the jump threshold framework
Chun-Yuan Chiu and Alec Kercheval
| Year of publication: |
2018
|
|---|---|
| Authors: | Chiu, Chun-Yuan ; Kercheval, Alec |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 5/6, p. 411-433
|
| Subject: | affine processes | Credit risk | Lévy processes | Kreditrisiko | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2018.1465349 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012129172