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Credit rating modelled with reflected stochastic differential equations
Sonubi, Adeyemi Adewale - In: Journal of mathematical finance 4 (2014) 5, pp. 333-337
Persistent link: https://www.econbiz.de/10011312408
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Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing; Liu, Yinglin; Hao, Ruili - In: Journal of mathematical finance 6 (2016) 2, pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
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A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang; Liu, Allen - In: Journal of mathematical finance 7 (2017) 2, pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
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Credit scoring with ego-network data
Sewe, Stanley; Ngare, Philip; Weke, Patrick - In: Journal of mathematical finance 9 (2019) 3, pp. 522-534
Persistent link: https://www.econbiz.de/10012210386
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CVA under Bates model with stochastic default intensity
Feng, Yaqin - In: Journal of mathematical finance 7 (2017) 3, pp. 682-698
Persistent link: https://www.econbiz.de/10011752457