Search Results - subject:"first passage time"

Intensity process for a pure jump Lévy structural model with incomplete information

Dong, Xin; Zheng, Harry - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1307-1322

In this paper we discuss a credit risk model with a pure jump Lévy process for the asset value and an unobservable random barrier. The default time is the first time when the asset value falls below the barrier. Using the indistinguishability of the intensity process and the likelihood process,...

Persistent link: https://www.econbiz.de/10011194140

Pricing external barrier options in a regime-switching model

Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143

Persistent link: https://www.econbiz.de/10011526900

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

Funding liquidity, debt tenor structure, and creditor’s belief : an exogenous dynamic debt run model

Liang, Gechun; Lütkebohmert, Eva; Wei, Wei - In: Mathematics and financial economics 9 (2015) 4, pp. 271-302

Persistent link: https://www.econbiz.de/10011378101

Extended Gerber-Shiu functions in a risk model with interest

Schmidli, Hanspeter - In: Insurance 61 (2015), pp. 271-275

Persistent link: https://www.econbiz.de/10010515872

Market Expectation of Appreciation of the Renminbi

Hui, Cho-Hoi; Lo, Chi-Fai; Chung, Tsz-Kin - Hong Kong Monetary Authority - 2008

market based on first-passage-time distributions. Using market data of the renminbi spot exchange rates, non …

Persistent link: https://www.econbiz.de/10005813737

A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach

Hui, Cho-Hoi; Lo, Chi-Fai - Hong Kong Monetary Authority - 2008

on first-passage-time distributions instead of the commonly used path-independent approach. We consider that path … committed band by a central bank is breached. A mean-reverting lognormal process is considered in the first-passage-time …

Persistent link: https://www.econbiz.de/10005690168

Solutions of fractional nonlinear diffusion equation and first passage time: Influence of initial condition and diffusion coefficient

Wang, Jun; Zhang, Wen-Jun; Liang, Jin-Rong; Zhang, Pan; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 18, pp. 4547-4552

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional … probability distribution, the first passage time distribution, the mean first passage time and the mean squared displacement, and …

Persistent link: https://www.econbiz.de/10011063559

The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default

Spencer, Peter - In: Finance Research Letters 11 (2014) 1, pp. 8-15

comparative static properties of other models of corporate default and perhaps other first passage time models. …

Persistent link: https://www.econbiz.de/10010753689

A note on the first passage time of diffusions with holding and jumping boundary

Peng, Jun - In: Statistics & Probability Letters 93 (2014) C, pp. 58-64

In this note we are concerned with the first passage time (FPT) of diffusions with holding and jumping boundary (DHJ …

Persistent link: https://www.econbiz.de/10010906222