Hochschulschrift
Credit dynamics in a first-passage time model with jumps and Latin hypercube sampling with dependence
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Frankfurt (Main), Frankfurt School of Finance & Management, Diss., 2008
- Classification
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Wirtschaft
- Keyword
-
Derivat
Termingeschäft
Zins
Risikoprämie
Volatilität
Stochastischer Prozess
Theorie
- Event
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Veröffentlichung
- (where)
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Frankfurt am Main
- (who)
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Frankfurt School of Finance & Management gGmbH
- (when)
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2008
- Creator
- URN
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urn:nbn:de:101:1-201107084389
- Rights
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
15.08.2025, 7:23 AM CEST
Data provider
This object is provided by:
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Object type
- Hochschulschrift
Associated
- Packham, Natalie
- Frankfurt School of Finance & Management gGmbH
Time of origin
- 2008
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Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
Credit gap risk in a first passage time model with jumps
Efficient sampling of conditioned Markov jump processes
Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Estimation of Structural Credit Models under Jump Processes
Modeling cycle dependence in credit insurance
Integral options in models with jumps
Randomized Jumplists With Several Jump Pointers
Leveraging annotation-based modeling with Jump
Credit dynamics in a first passage time model with jumps
Latin hypercube sampling with dependence and applications in finance
Latin hypercube sampling with dependence and applications in finance
Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
Credit gap risk in a first passage time model with jumps
Efficient sampling of conditioned Markov jump processes
Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Estimation of Structural Credit Models under Jump Processes
Modeling cycle dependence in credit insurance
Integral options in models with jumps
Randomized Jumplists With Several Jump Pointers