Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
There are two parts in this thesis where both parts are self-contained. The first part of this thesis is on the valuation of dependent defaultable bonds under the assumption that the credit risk is of a reduced-form model, where the default time is defined as a single jump process. Our work is an...
Saved in:
Main Author: | Low, Kah Choon |
---|---|
Other Authors: | School of Physical and Mathematical Sciences |
Format: | Theses and Dissertations |
Language: | English |
Published: |
2014
|
Subjects: | |
Online Access: | http://hdl.handle.net/10356/61352 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |
Similar Items
-
Second order multi-object filtering with target interaction using determinantal point processes
by: Teoh, Timothy Zhisheng
Published: (2019) -
Determinantal Ideals
by: Miró-Roig, Rosa M.
Published: (2017) -
Parabolic systems and stochastic controls: nonlocality, nonlinearity, and time-inconsistency
by: Lei, Qian
Published: (2022) -
Calculating the Malliavin derivative of one stochastic mechanics problem
by: Lyu, Xingyu
Published: (2019) -
PRUNING NEURAL NETWORKS USING DETERMINANTAL POINT PROCESSES
by: VLADIMIR PETROVIC
Published: (2024)