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Insolvenz
First passage time
38
Stochastischer Prozess
21
Stochastic process
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first passage time
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Option pricing theory
14
Optionspreistheorie
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Theorie
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First-passage time
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Mean first-passage time
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credit dynamics
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credit spreads
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first passage time models
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gap risk
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general Ornstein-Uhlenbeck processes
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Probability theory
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first-passage time
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Li, Weiping
2
Elliott, Robert J.
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Krehbiel, Timothy L.
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Shen, Jia
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Spencer, Peter D.
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Annals of finance
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
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1
Probability of default and default correlations
Li, Weiping
- In:
Journal of risk and financial management : JRFM
9
(
2016
)
3
,
pp. 1-19
formula for the default correlation via the correlated multivariate process of the
first-passage-time
default correlation …
Persistent link: https://www.econbiz.de/10011543135
Saved in:
2
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Saved in:
3
Dynamic optimal capital structure with regime switching
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
2
,
pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
Saved in:
4
The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
Spencer, Peter D.
- In:
Finance research letters
11
(
2014
)
1
,
pp. 8-15
Persistent link: https://www.econbiz.de/10010393638
Saved in:
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