Displaying similar documents to “Porosity and models with discrete innovations.”

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...

Dynamics of a two sex population with gestation period

Giorgio Busoni, Andrzej Palczewski (2000)

Applicationes Mathematicae

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We investigate a mathematical model of population dynamics for a population of two sexes (male and female) in which new individuals are conceived in a process of mating between individuals of opposed sexes and their appearance is postponed by a period of gestation. The model is a system of two partial differential equations with delay which are additionally coupled by mathematically complicated boundary conditions. We show that this model has a global solution. We also analyze stationary...