Stochastic and Copula Models for Credit Derivatives
We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, we prove several results on the sensitivity of quantities connected...
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| Format: | Others |
| Language: | en |
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LSU
2008
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| Online Access: | http://etd.lsu.edu/docs/available/etd-07022008-143903/ |