Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures
Year of publication: |
2008
|
---|---|
Authors: | Lau, John ; Siu, Tak |
Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 31.2008, 3, p. 255-288
|
Publisher: |
Society for Computational Economics - SCE |
Subject: | Completely random measures | Gamma process | Poisson Random measure | Markov-switching | Pricing |
-
Optimal hedging in incomplete markets
Bouzianis, George, (2020)
-
Pricing electricity forwards under future information on the stochastic mean-reversion level
Hess, Markus, (2020)
-
Bayesian Inference via Classes of Normalized Random Measures.
James, Lancelot F., (2005)
- More ...
-
On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity
Siu, Tak, (2007)
-
Wood, Sally Ann, (2011)
-
Modelling long-term investment returns via Bayesian infinite mixture time series models
Lau, John, (2008)
- More ...