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  • Search: subject:"cox process"
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Year of publication
Subject
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Cox process 11 CDS option 2 Credit derivatives 2 HJM model 2 Log Gaussian Cox Process 2 Mixed Poisson process 2 Monte Carlo method 2 Renewal process 2 Spatial Point Process 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Theory 2 pricing 2 tornado occurrences 2 ARCH model 1 ARCH-Modell 1 Aktienoption 1 CAPM 1 CDOs 1 Claim arrival process 1 Collective risk model 1 Corporate bond 1 Cox Process 1 Cox-based telegraph process 1 Credit Default Swap 1 Credit Default Swaption 1 Credit risk 1 Doubly stochastic poisson process 1 Durations 1 Heteroscedasticity 1 Heteroskedastizität 1 High frequency trading 1 Homogeneous Poisson process (HPP) 1 Intensity 1 Jump-diffusion 1 Kac’s condition 1 Kalman filter 1 Kreditrisiko 1 MBS curtailment 1
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Online availability
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Free 16 CC license 2
Type of publication
All
Book / Working Paper 11 Article 5
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Article 1 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1 Thesis 1
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Language
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English 9 Undetermined 7
Author
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Brigo, Damiano 2 Burnecki, Krzysztof 2 Chiarella, Carl 2 El-Bachir, Naoufel 2 Fanelli, Viviana 2 Laurini, Márcio Poletti 2 Musti, Silvana 2 Valente, Fernanda 2 Weron, Rafal 2 Fodra, Pietro 1 Fujita, Takahiko 1 Hardle, Wolfgang 1 Ishimura, Naoyuki 1 Laurent, Jean-Paul 1 McCulloch, James 1 Pham, Huyen 1 Pohoruj, Anatolij Oleksandrovyč 1 Reynoso-Vendrell, J. Víctor 1 Rodríguez-Dagnino, Ramón M. 1 Rydberg, Tina Hviid 1 Sarana, Alexander 1 Shephard, Neil 1 Sviščuk, Anatolij 1 Szimayer, Alexander 1 Tanaka, Daichi 1 Venegas-Martínez, Francisco 1
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Institution
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Finance Discipline Group, Business School 3 HAL 2 Henley Business School, University of Reading 2 Department of Economics, Oxford University 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
Research Paper Series / Finance Discipline Group, Business School 3 ICMA Centre Discussion Papers in Finance 2 Working Papers / HAL 2 Econometrics 1 Econometrics : open access journal 1 Economics Series Working Papers / Department of Economics, Oxford University 1 HSC Research Reports 1 Hitotsubashi Journal of Economics 1 MPRA Paper 1 Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) 1 Risks : open access journal 1
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Source
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RePEc 12 ECONIS (ZBW) 3 EconStor 1
Showing 1 - 10 of 16
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Cox-based and elliptical telegraph processes and their applications
Pohoruj, Anatolij Oleksandrovyč; Sviščuk, Anatolij; … - In: Risks : open access journal 11 (2023) 7, pp. 1-15
movement evolution of a particle according to a telegraph-Cox process on an ellipse. Numerical examples and applications are …
Persistent link: https://www.econbiz.de/10014340275
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Tornado occurrences in the United States: A spatio-temporal point process approach
Valente, Fernanda; Laurini, Márcio Poletti - In: Econometrics 8 (2020) 2, pp. 1-26
-temporal point process we adopt a dynamic representation of Log-Gaussian Cox Process. This representation is based on the …
Persistent link: https://www.econbiz.de/10012696288
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Tornado occurrences in the United States : a spatio-temporal point process approach
Valente, Fernanda; Laurini, Márcio Poletti - In: Econometrics : open access journal 8 (2020) 2/25, pp. 1-26
-temporal point process we adopt a dynamic representation of Log-Gaussian Cox Process. This representation is based on the …
Persistent link: https://www.econbiz.de/10012265436
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High frequency trading in a Markov renewal model
Fodra, Pietro; Pham, Huyen - HAL - 2013
We study an optimal high frequency trading problem within a market microstructure model aiming at a good compromise between accuracy and tractability. The stock price is modeled by a Markov Renewal Process (MRP), while market orders arrive in the limit order book via a point process correlated...
Persistent link: https://www.econbiz.de/10010821509
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Simulation of Risk Processes
Burnecki, Krzysztof; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2010
This paper is intended as a guide to simulation of risk processes. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another describing the...
Persistent link: https://www.econbiz.de/10008681013
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Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - Finance Discipline Group, Business School - 2009
. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The …
Persistent link: https://www.econbiz.de/10008492106
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Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - Finance Discipline Group, Business School - 2008
. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The … the Cox Process within the HJM framework: a CDS option pricing model Carl Chiarella, Viviana Fanelli and Silvana … Musti ISSN 1441-8010 Modelling the evolution of Credit Spreads using the Cox process within the HJM framework: a …
Persistent link: https://www.econbiz.de/10004984452
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An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
Fujita, Takahiko; Ishimura, Naoyuki; Tanaka, Daichi - In: Hitotsubashi Journal of Economics 49 (2008) 2, pp. 67-74
We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox … process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the …
Persistent link: https://www.econbiz.de/10009206498
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An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model
Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2007
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation...
Persistent link: https://www.econbiz.de/10008542369
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The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment
Venegas-Martínez, Francisco; Reynoso-Vendrell, J. Víctor - In: Revista de Administración, Finanzas y Economía … 1 (2007) 2, pp. 148-168
emerging markets where collateral information is limited, wrong or scarce. Under this framework, we use the Cox Process to …
Persistent link: https://www.econbiz.de/10005148428
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