Correlated default models driven by a multivariate regime-switching shot noise process-Reference-Cited by-同舟云学术

Correlated default models driven by a multivariate regime-switching shot noise process

Published:2017-05-19 Issue:4 Volume:29 Page:351-375
ISSN:1471-678X
Container-title:IMA Journal of Management Mathematics
language:en
Short-container-title:

Author:

Dong Yinghui¹,Wang Guojing²,Yuen Kam Chuen³

Affiliation:

1. Department of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, People’s Republic of China

2. Department of Mathematics, Center for Financial Engineering, Soochow University, Suzhou, People’s Republic of China

3. Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong

Funder

QingLan Project

National Natural Science Foundation of China

Research Grants Council of the Hong Kong Special Administrative Region, China

Society of Actuaries

Publisher

Oxford University Press (OUP)

Subject

Applied Mathematics,Management Science and Operations Research,Strategy and Management,General Economics, Econometrics and Finance,Modelling and Simulation,Management Information Systems

Link

http://academic.oup.com/imaman/article-pdf/29/4/351/25693889/dpx004.pdf

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3. The pricing of options and corporate liabilities,;Black;Journal of Political Economy,1973

4. On the conditional default probability in a regulated market with jump risk,;Bo;Quantitative Finance,2013

5. The virtual waiting time and related processes,;Cox;Advance in Applied Probabality,1986

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