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Search: subject:"Brownian motion with drift"
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Brownian motion with drift
3
Credit risk
1
Diffusion
1
Information reduction
1
Level-crossings
1
OIS
1
Parisian implementation delay
1
RFR
1
Reduced form models
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Stochastischer Prozess
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Zinsstruktur
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arc-sine
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fallback
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fallback spread
1
libor adjustment spread
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occupation time
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percentile
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risk-free rates
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single barrier strategy
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sonia
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Dassios, Angelos
1
Jarrow, Robert
1
Piterbarg, Vladimir V.
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Protter, Philip
1
Sezer, A.
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Wu, Shanle
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London School of Economics (LSE)
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Finance and Stochastics
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LSE Research Online Documents on Economics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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Expected median of a shifted Brownian motion : theory and calculations
Piterbarg, Vladimir V.
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 3-45
Persistent link: https://www.econbiz.de/10012815944
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2
Barrier strategies with Parisian delay
Dassios, Angelos
;
Wu, Shanle
-
London School of Economics (LSE)
-
2011
time lag d > 0 between decision and implementation. Using a
Brownian
motion
with
drift
as the surplus process, we obtain …
Persistent link: https://www.econbiz.de/10010745176
Saved in:
3
Information reduction via level crossings in a credit risk model
Jarrow, Robert
;
Protter, Philip
;
Sezer, A.
- In:
Finance and Stochastics
11
(
2007
)
2
,
pp. 195-212
Persistent link: https://www.econbiz.de/10005613441
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