A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-014-9431-6.pdf
Reference32 articles.
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2. Ang A, Bekaert G (2002b) Short rate nonlinearities and regime switches. J Econ Dyn Control 26:1243–1274
3. Brigo D, Pallavicini A, Torresetti R (2007) Calibration of CDO tranches with the dynamical generalized Poisson loss model. Risk 20:70–75
4. Buffington J, Elliott RJ (2002) American options with regime switching. Int J Theor Appl Financ 5:497–514
5. Collin-Dufresne P, Goldstein R, Hugonnier J (2004) A general formula for valuing defaultable securities. Econometrica 72(5):1377–1407
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