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~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
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Search: subject:"Jump diffusion model"
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Laplace distribution
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convertible arbitrage
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Kaldasch, Joachim
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Xiao, Tim
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Université Paris-Dauphine (Paris IX)
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Bank for International Settlements (BIS)
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Colwell, David , Banking & Finance, Australian School of Business, UNSW
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Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW)
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EconWPA
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
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Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW
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Université Paris-Dauphine
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Is the
Jump-Diffusion
Model
a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
Xiao, Tim
-
Volkswirtschaftliche Fakultät, …
-
2013
Tim Xiao: This paper argues that the reduced-form
jump
diffusion
model
may not be appropriate for credit risk modeling …
Persistent link: https://www.econbiz.de/10011109339
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2
Evolutionary Model of Non-Durable Markets
Kaldasch, Joachim
-
Volkswirtschaftliche Fakultät, …
-
2011
, the evolutionary model can be linked to a stochastic
jump-diffusion
model
. …
Persistent link: https://www.econbiz.de/10009323245
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