Fluctuation analysis for the loss from default-Reference-Cited by-同舟云学术

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Fluctuation analysis for the loss from default

Published:2014-07 Issue:7 Volume:124 Page:2322-2362
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Spiliopoulos Konstantinos,Sirignano Justin A.,Giesecke Kay

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference31 articles.

1. Sobolev Spaces;Adams,1978

2. Shahriar Azizpour, Kay Giesecke, Gustavo Schwenkler, Exploring the sources of default clustering, Working Paper, Stanford University, 2010.

3. Exact simulation of diffusions;Beskos;Ann. Appl. Probab.,2005

4. Distribution function inequalities for martingales;Burkholder;Ann. Probab.,1973

5. Stochastic evolution equations in portfolio credit modelling;Bush;SIAM J. Financial Math.,2011

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