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A Markov chain model with stoc...
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Stochastic process
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McAleer, Michael
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Siu, Tak Kuen
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Carr, Peter
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Topaloglou, Nikolas
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Batabyal, Amitrajeet A.
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Mumtaz, Haroon
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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European journal of operational research : EJOR
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324
Insurance / Mathematics & economics
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Journal of econometrics
218
Finance and stochastics
196
Computers & operations research : and their applications to problems of world concern ; an international journal
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Operations research
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International journal of production research
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Quantitative finance
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Operations research letters
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Discussion paper / Tinbergen Institute
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Risks : open access journal
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International journal of production economics
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Applied mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Computational economics
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The journal of computational finance
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Economics letters
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Journal of mathematical finance
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Econometric reviews
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Economic modelling
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Energy economics
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Transportation research / E : an international journal
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International journal of financial engineering
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INFORMS journal on computing : JOC
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Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Annals of operations research
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Mathematical methods of operations research
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Finance research letters
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Omega : the international journal of management science
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Computational Management Science : CMS
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Journal of banking & finance
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Journal of economic theory
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ECONIS (ZBW)
16,566
RePEc
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1
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:
2
A set-valued Markov chain approach to credit default
Chen, Dianfa
;
Deng, Jun
;
Feng, Jianfen
;
Zou, Bin
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 669-689
Persistent link: https://www.econbiz.de/10012194914
Saved in:
3
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
4
Merton's model with recovery risk
Cohen, Albert
;
Costanzino, Nick
- In:
The journal of credit risk : published quarterly by …
18
(
2022
)
2
,
pp. 93-118
Persistent link: https://www.econbiz.de/10014546392
Saved in:
5
Default-risky bond prices with jumps, liquidity risk and incomplete information
Jeanblanc, Monique
;
Valchev, Stoyan
- In:
Decisions in economics and finance : DEF ; a journal of …
30
(
2007
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10003630273
Saved in:
6
Markov regenerative credit rating model
Pasricha, Puneet
;
Selvamuthu, Dharmaraja
;
Arunachalam, …
- In:
Journal of risk finance : the convergence of financial …
18
(
2017
)
3
,
pp. 311-325
Persistent link: https://www.econbiz.de/10011742799
Saved in:
7
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009272496
Saved in:
8
Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance
Szimayer, Alexander
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001758056
Saved in:
9
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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10
Pricing default risk in stochastic time
Harju, Antti J.
- In:
The journal of credit risk : published quarterly by …
19
(
2023
)
3
,
pp. 23-49
Persistent link: https://www.econbiz.de/10014489139
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