Search Results - subject:"Stochastic Intensity"

Affine term structure models : a time-change approach with perfect fit to market curves

Mbaye, Cheikh; Vrins, Frédéric - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 678-724

Persistent link: https://www.econbiz.de/10013164572

A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

Fonseca, José da; Malevergne, Yannick - In: Journal of economic dynamics & control 128 (2021), pp. 1-34

Persistent link: https://www.econbiz.de/10012628258

Stochastic modelling of operational quality of k-out-of-n systems

Cha, Ji Hwan; Finkelstein, Maxim - In: Top : an official journal of the Spanish Society of … 28 (2020) 2, pp. 424-441

Persistent link: https://www.econbiz.de/10012236999

Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity

Fallah, Somayeh; Mehrdoust, Farshid - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 2, pp. 109-120

Persistent link: https://www.econbiz.de/10012616833

Random distribution kernels and three types of defaultable contingent payoffs

Ye, Jinchun - In: Insurance / Mathematics & economics 85 (2019), pp. 198-204

Persistent link: https://www.econbiz.de/10011990678

Dynamic portfolio strategies under a fully correlated jump-diffusion process

Escobar, Marcos; Moreno-Franco, Harold A. - In: Annals of finance 15 (2019) 3, pp. 421-453

Persistent link: https://www.econbiz.de/10012240153

Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 4, pp. 571-610

European investment-grade firms by using a stochastic intensity credit model. Our results show that, on average, investors …

Persistent link: https://www.econbiz.de/10014522247

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Ghamami, Samim; Goldberg, Lisa R. - Federal Reserve Board (Board of Governors of the … - 2014

White [2012] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty …

Persistent link: https://www.econbiz.de/10010886220

Hybrid marked point processes : characterization, existence and uniqueness

Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-55

Persistent link: https://www.econbiz.de/10012227886

Gagliardini, Patrick; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012

There is a growing literature on the possibility to identify correlation and contagion in qualitative risk analysis. Our paper considers this question by means of a model describing the joint dynamics of a set of individual binary processes. The two admissible values correspond to bad and good...

Persistent link: https://www.econbiz.de/10010548474