Displaying similar documents to “Generalized CreditRisk+ model and applications”

A Mathematical Model for a Contracting Interstellar Cloud

Meri Lisi, Silvia Totaro (2009)

Bollettino dell'Unione Matematica Italiana

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In this paper, we study a one-dimensional mathematical model for a contracting interstellar cloud, with a star inside. Existence and uniqueness of a positive solution are proved by means of the fixed point theorem. A time discretization procedure is given and the case of an expanding interstellar cloud is also considered.

When a first order T has limit models

Saharon Shelah (2012)

Colloquium Mathematicae

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We sort out to a large extent when a (first order complete theory) T has a superlimit model in a cardinal λ. Also we deal with related notions of being limit.

Community-Sourcing in Virtual Societies

Branzov, Todor (2016)

Serdica Journal of Computing

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The paper studies the approaches to development of goods with active participation of virtual community members. The concept of community-sourcing is presented as an alternative to the open source model and crowdsourcing. On that foundation a conceptual model of resource management system that use some current good practices of the IT industry is proposed. Results obtained in a virtual community implementing the model are presented as a validation attempt. ACM Computing Classification...

Arbitrage and pricing in a general model with flows

Jan Palczewski (2003)

Applicationes Mathematicae

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We study a fundamental issue in the theory of modeling of financial markets. We consider a model where any investment opportunity is described by its cash flows. We allow for a finite number of transactions in a finite time horizon. Each transaction is held at a random moment. This places our model closer to the real world situation than discrete-time or continuous-time models. Moreover, our model creates a general framework to consider markets with different types of imperfection: proportional...

Pricing forward-start options in the HJM framework; evidence from the Polish market

P. Sztuba, A. Weron (2001)

Applicationes Mathematicae

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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.