Search Results - subject:"Local intensity"

Stochastic Local Intensity Loss Models with Interacting Particle Systems

Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme - HAL - 2014

unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The … Stochastic Local Intensity (SLI) models such as the one proposed by Arnsdorf and Halperin (2008) allow to get a stochastic jump …

Persistent link: https://www.econbiz.de/10010820873

Stochastic local intensity loss models with interacting particle systems

Alfonsi, Aurélien; Labart, Celine; Lelong, Jérõme - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 366-394

Persistent link: https://www.econbiz.de/10011577160

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434

Stochastic Local Intensity Loss Models with Interacting Particle Systems

Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme - HAL - 2013

Persistent link: https://www.econbiz.de/10010607937

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu - In: Review of Derivatives Research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10010867561