Matches in SemOpenAlex for { <https://semopenalex.org/work/W1567696631> ?p ?o ?g. }
Showing items 1 to 84 of
84
with 100 items per page.
- W1567696631 abstract "Using a structural default model considered in Lipton and Sepp (2009) we propose a new approach to introducing correlated jumps into this framework. As the result we extend a set of the tractable Levy models which represent the jumps as a sum of the idiosyncratic and common parts. So far in the literature only the discrete and exponential jumps were considered using Marshall and Olkin (1967) method, and only in one and two-dimensional cases. We present realization of our approach in two and three dimensional cases, i.e. compute joint survival probabilities $Q$ of two or three counterparties. We also extend the model by taking into account mutual liabilities of the counterparties and demonstrate their influence on $Q$. The latter, however, requires a more detailed analysis which will be published elsewhere." @default.
- W1567696631 created "2016-06-24" @default.
- W1567696631 creator A5035270942 @default.
- W1567696631 creator A5075376959 @default.
- W1567696631 date "2014-08-27" @default.
- W1567696631 modified "2023-09-27" @default.
- W1567696631 title "Efficient solution of structural default models with correlated jumps. A fractional PDE approach" @default.
- W1567696631 cites W1507758537 @default.
- W1567696631 cites W150817069 @default.
- W1567696631 cites W2049161806 @default.
- W1567696631 cites W2061225585 @default.
- W1567696631 cites W2072430699 @default.
- W1567696631 cites W2088248745 @default.
- W1567696631 cites W2097998671 @default.
- W1567696631 cites W2105973145 @default.
- W1567696631 cites W2123006946 @default.
- W1567696631 cites W2124689651 @default.
- W1567696631 cites W2153455032 @default.
- W1567696631 cites W2153999818 @default.
- W1567696631 cites W2169260708 @default.
- W1567696631 cites W2338972898 @default.
- W1567696631 cites W2681103144 @default.
- W1567696631 cites W3122656840 @default.
- W1567696631 cites W3124979733 @default.
- W1567696631 cites W3152114621 @default.
- W1567696631 cites W324949949 @default.
- W1567696631 cites W578397403 @default.
- W1567696631 hasPublicationYear "2014" @default.
- W1567696631 type Work @default.
- W1567696631 sameAs 1567696631 @default.
- W1567696631 citedByCount "1" @default.
- W1567696631 countsByYear W15676966312014 @default.
- W1567696631 crossrefType "posted-content" @default.
- W1567696631 hasAuthorship W1567696631A5035270942 @default.
- W1567696631 hasAuthorship W1567696631A5075376959 @default.
- W1567696631 hasConcept C105795698 @default.
- W1567696631 hasConcept C134306372 @default.
- W1567696631 hasConcept C149782125 @default.
- W1567696631 hasConcept C151376022 @default.
- W1567696631 hasConcept C177264268 @default.
- W1567696631 hasConcept C199360897 @default.
- W1567696631 hasConcept C2781089630 @default.
- W1567696631 hasConcept C28826006 @default.
- W1567696631 hasConcept C33923547 @default.
- W1567696631 hasConcept C41008148 @default.
- W1567696631 hasConcept C88757350 @default.
- W1567696631 hasConceptScore W1567696631C105795698 @default.
- W1567696631 hasConceptScore W1567696631C134306372 @default.
- W1567696631 hasConceptScore W1567696631C149782125 @default.
- W1567696631 hasConceptScore W1567696631C151376022 @default.
- W1567696631 hasConceptScore W1567696631C177264268 @default.
- W1567696631 hasConceptScore W1567696631C199360897 @default.
- W1567696631 hasConceptScore W1567696631C2781089630 @default.
- W1567696631 hasConceptScore W1567696631C28826006 @default.
- W1567696631 hasConceptScore W1567696631C33923547 @default.
- W1567696631 hasConceptScore W1567696631C41008148 @default.
- W1567696631 hasConceptScore W1567696631C88757350 @default.
- W1567696631 hasLocation W15676966311 @default.
- W1567696631 hasOpenAccess W1567696631 @default.
- W1567696631 hasPrimaryLocation W15676966311 @default.
- W1567696631 hasRelatedWork W1557608973 @default.
- W1567696631 hasRelatedWork W1605825663 @default.
- W1567696631 hasRelatedWork W2009864312 @default.
- W1567696631 hasRelatedWork W2202007666 @default.
- W1567696631 hasRelatedWork W2406421546 @default.
- W1567696631 hasRelatedWork W2423229833 @default.
- W1567696631 hasRelatedWork W2439117799 @default.
- W1567696631 hasRelatedWork W2753571484 @default.
- W1567696631 hasRelatedWork W2950222142 @default.
- W1567696631 hasRelatedWork W2950805953 @default.
- W1567696631 hasRelatedWork W2951146078 @default.
- W1567696631 hasRelatedWork W2951298811 @default.
- W1567696631 hasRelatedWork W2972694992 @default.
- W1567696631 hasRelatedWork W2982986197 @default.
- W1567696631 hasRelatedWork W3121197066 @default.
- W1567696631 hasRelatedWork W3121990139 @default.
- W1567696631 hasRelatedWork W3124157578 @default.
- W1567696631 hasRelatedWork W3125428588 @default.
- W1567696631 hasRelatedWork W3125680805 @default.
- W1567696631 hasRelatedWork W888930564 @default.
- W1567696631 isParatext "false" @default.
- W1567696631 isRetracted "false" @default.
- W1567696631 magId "1567696631" @default.
- W1567696631 workType "article" @default.