Showing results 1 to 4 of 4
Title | Author(s) | Issue Date | |
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A multivariate regime-switching mean reverting process and its application to the valuation of credit risk Journal:Stochastic Analysis and Applications | 2014 | ||
A reduced-form model for correlated defaults with regime-switching shot noise intensities Journal:Methodology and Computing in Applied Probability | 2016 | ||
Regime-switching shot noise processes and longevity bonds pricing Journal:Lithuanian Mathematical Journal | 2014 | ||
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model Journal:Statistics and Probability Letters | 2014 |