Shilin Zhu

Stanford University - Department of Statistics

Stanford, CA 94305

United States

SCHOLARLY PAPERS

3

DOWNLOADS

537

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Transform Analysis for Point Processes and Applications in Credit Risk

Number of pages: 24 Posted: 19 Oct 2007 Last Revised: 22 Jun 2016
Kay Giesecke and Shilin Zhu
Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Downloads 312 (96,685)
Citation 1

Abstract:

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Point process, compensator, Laplace transform, measure change, credit derivative, portfolio credit risk

2.

Monte Carlo Algorithms for Default Timing Problems

Management Science, Vol. 57, No. 12, pp. 2115-2129, 2011
Number of pages: 31 Posted: 16 Sep 2010 Last Revised: 18 Mar 2012
Kay Giesecke, Baeho Kim and Shilin Zhu
Stanford University - Management Science & Engineering, Korea University Business School (KUBS) and Stanford University - Department of Statistics
Downloads 225 (135,899)

Abstract:

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3.

Transform Analysis for Point Processes and Applications in Credit Risk

Mathematical Finance, Vol. 23, Issue 4, pp. 742-762, 2013
Number of pages: 21 Posted: 06 Aug 2013
Kay Giesecke and Shilin Zhu
Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Downloads 0 (670,823)
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Abstract:

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point process, transform, compensator, equivalent measure change