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.
Aggoun, Lakhdar, Benkherouf, Lakdere (2002)
International Journal of Mathematics and Mathematical Sciences
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Robust option replication for a Black-Scholes model extended with nondeterministic trends.
Schoenmakers, John G.M., Kloeden, Peter E. (1999)
Journal of Applied Mathematics and Stochastic Analysis
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A stochastic model for the financial market with discontinuous prices.
Minkova, Leda D. (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Minimizing banking risk in a Lévy process setting.
Gideon, F., Mukuddem-Petersen, J., Petersen, M.A. (2007)
Journal of Applied Mathematics
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On changes of measure in stochastic volatility models.
Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications.
Wong, Bernard (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Local volatility in the Heston model: a Malliavin calculus approach.
Ewald, Christian-Oliver (2005)
Journal of Applied Mathematics and Stochastic Analysis
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Spatio-temporal modelling of a Cox point process sampled by a curve, filtering and Inference
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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