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Authors: Deshpande, Amogh
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/318527
Description: The standard CreditRisk⁺ (CR⁺) is a well-known default-mode credit risk model. An extension to the CR⁺ that introduces correlation through a two-stage hierarchy of randomness has been discussed by Des ... More
Reviewed: Reviewed
Authors: Deshpande, Amogh
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/194354
Description: We consider the class of semi-Markov modulated jump diffusions (sMMJDs) whose operator turns out to be an integro-partial differential operator. We find conditions under which the solutions of this cl ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1127762
Description: We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/208786
Description: We study option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of a stock depends on a finite state Markov chain. Using a minimal martingale mea ... More
Reviewed: Reviewed
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