Expectations of functions of stochastic time with application to credit risk modeling
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- Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2016. "Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 748-784, October.
References listed on IDEAS
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- Hui Chen & Scott Joslin, 2011. "Generalized Transform Analysis of Affine Processes and Applications in Finance," NBER Working Papers 16906, National Bureau of Economic Research, Inc.
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- Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
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