跳跃
过滤(数学)
违约风险
资产(计算机安全)
强度(物理)
违约
计量经济学
信用风险
数理经济学
数学
经济
计算机科学
精算学
统计
财务
物理
计算机安全
量子力学
作者
Robert J. Elliott,Monique Jeanblanc,Marc Yor
标识
DOI:10.1111/1467-9965.00088
摘要
We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
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