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Self exciting threshold interest rates models
Decamps, Marc; Goovaerts, Marc J.; Schoutens, Wim - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1093-1122
Persistent link: https://www.econbiz.de/10003395984
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Self exciting threshold interest rates models
Decamps, Marc; Goovaerts, Marc J.; Schoutens, Wim - 2005
Persistent link: https://www.econbiz.de/10002724001
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A Note on Some New Perpetuities
Decamps, Marc - 2008
In a recent paper, Salminen and Yor (2004b) relate the distribution of the Dufresne's reflected perpetuity to the hitting time of a reflected Bessel process. In this contribution, we adapt the results of Salminen and Yor (2004b) in several ways. First, we use spectral theory to obtain a series...
Persistent link: https://www.econbiz.de/10012774450
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A note on some new perpetuities
Decamps, Marc; Schepper, Ann De; Goovaerts, Marc; … - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 4, pp. 261-270
Persistent link: https://www.econbiz.de/10005921690