Displaying similar documents to “Introducing randomness into first-order and second-order deterministic differential equations.”

The pricing of credit risky securities under stochastic interest rate model with default correlation

Anjiao Wang, Zhong Xing Ye (2013)

Applications of Mathematics

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In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of...

An extreme Markovian-evolutionary (EME) sequence.

José Tiago de Oliveira (1985)

Trabajos de Estadística e Investigación Operativa

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The most general sequence, with Gumbel margins, generated by maxima procedures in an auto-regressive way (one step) is defined constructively and its properties obtained; some remarks for statistical estimation are presented.