位置：成果数据库 > 期刊 > 期刊详情页
Exponential change of measure applied to term structures of interest rates and exchange rates
  • ISSN号：0167-6687
  • 期刊名称：Insurance: Mathematics and Economics
  • 时间：2011.9.9
  • 页码：216-225
  • 相关项目：基于反射扩散模式的汇率风险和违约风险研究
作者： Lijun Bo|
同期刊论文项目
基于反射扩散模式的汇率风险和违约风险研究
期刊论文 20
同项目期刊论文
Levy risk model with two-sided jumps and a barrier dividend strategy
On a stochastic interacting model with stepping-stone noises
A note on stability in distribution of Markov-modulated stochastic differential equations with refle
Mean first passage times of two-dimensional processes with jumps
Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers
Stochastic portfolio optimization with default risk
On the default probability in a regime-switching regulated market
Derivative pricing based on the exchange rate in a target zone with realignment
Optimal portfolio and consumption selection with default risk
Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE
Kernel-Correlated L,vy Field Driven Forward Rate and Application to Derivative Pricing
Levy risk model with two-sided jumps and a barrier dividend strategy (vol 50, pg 280, 2012)
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
Bilateral credit valuation adjustment for large credit derivatives portfolios
On the conditional default probability in a regulated market with jump risk
First passage times of reflected generalized ornstein-uhlenbeck processes
FIRST PASSAGE TIMES OF (REFLECTED) ORNSTEIN-UHLENBECK PROCESSES OVER RANDOM JUMP BOUNDARIES