A credit derivative is a financial instrument whose value depends on the credit risk of an underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any payment obligation. This thesis proposes four new computational methods for the valuation of credit...

This paper considers joint analysis of current status and marker data using a threshold model based on first hitting times. A failure time is defined as the time at which a subject's latent health status process first decreases to zero. We extend the bivariate Wiener process model in Whitmore et...