Dan Tang

Nankai University - School of Mathematical Sciences

Tianjin, 300071

China

Nankai University - TEDA Institute of Computational Finance

Tianjin

China

  • Nankai University - School of Mathematical Sciences

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On the Conditional Default Probability in a Regulated Market: A Structural Approach

Quantitative Finance, Forthcoming
Number of pages: 18 Posted: 04 May 2010 Last Revised: 14 Jun 2017
Lijun Bo, Dan Tang, Yongjin Wang and Xuewei Yang
University of Science and Technology of China (USTC), Nankai University - School of Mathematical Sciences, Nankai University - Business School and Nanjing University - School of Management and Engineering
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Abstract:

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Conditional default probability, reflected Ornstein-Uhlenbeck process, default risk, inverse Laplace transform