EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING-Reference-Cited by-同舟云学术

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EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING

Published:2014-12-15 Issue:4 Volume:26 Page:748-784
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Costin Ovidiu¹,Gordy Michael B.²,Huang Min³,Szerszen Pawel J.²

Affiliation:

1. Ohio State University

2. Federal Reserve Board; Washington

3. City University of Hong Kong

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12082/fullpdf

Reference54 articles.

1. Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures;Alexander;J. Banking Finance,2008

2. An Empirical Investigation of Continuous-Time Equity Return Models;Andersen;J. Finance,2002

3. Remarks on Singularities of Finite Codimension in Complex Dynamical Systems;Arnold;Funct. An. Appl.,1969

4. Processes of Normal Inverse Gaussian Type;Barndorff-Nielsen;Finance Stoch.,1998

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