Jump-diffusion CIR model and its applications in credit risk
نویسندگان
چکیده
منابع مشابه
Jump-diffusion CIR model and its applications in credit risk
In this paper, the author discusses the distribution of the jump-diffusion CIR model (JCIR) and its applications in credit risk. Applying the piecewise deterministic Markov process theory and martingale theory, we first obtain the closed forms of the Laplace transforms for the distribution of the jump-diffusion CIR model and its integrated process. Based on the obtained Laplace transforms, we d...
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ژورنال
عنوان ژورنال: Hacettepe Journal of Mathematics and Statistics
سال: 2014
ISSN: 1303-5010
DOI: 10.15672/hjms.201447455