A Markov regime-switching marked point process for short-rate analysis with credit risk.
Siu, Tak Kuen (2010)
International Journal of Stochastic Analysis
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Displaying similar documents to “Jump telegraph processes and financial markets with memory.”
A Markov regime-switching marked point process for short-rate analysis with credit risk.
Model tracking for risk problems.
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Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Journal of Applied Mathematics and Stochastic Analysis
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Blažena Frcalová, Viktor Beneš (2009)
Kybernetika
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The paper deals with Cox point processes in time and space with Lévy based driving intensity. Using the generating functional, formulas for theoretical characteristics are available. Because of potential applications in biology a Cox process sampled by a curve is discussed in detail. The filtering of the driving intensity based on observed point process events is developed in space and time for a parametric model with a background driving compound Poisson field delimited by special test...
The distribution of the interval between events of a Cox process with shot noise intensity.
Dassios, Angelos, Jang, Jiwook (2008)
Journal of Applied Mathematics and Stochastic Analysis
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