搜索结果: 1-4 共查到“货币银行学 First-passage”相关记录4条 . 查询时间(0.062 秒)
Scaling properties of first-passage time probabilities in financial markets
Scaling properties first-passage time probabilities financial markets
2011/7/19
Financial markets provide an ideal frame for the study of first-passage time events of non-
Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...
The first passage event for sums of dependent Lévy processes with applications to insurance risk
First passage event fluctuation theory ladder process multivariate L´ evy process
2010/11/3
For the sum process X = X1 + X2 of a bivariate L´evy process (X1,X2) with possibly dependent components, we derive a quintuple law describing the first upwards passage event of X over a fixed ba...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...