Austin, TX 78712
University of Texas at Austin - Department of Information, Risk and Operations Management
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Marshall-Olkin multivariate exponential distribution, Levy process, subordinator, additive subordinator, simulation, dependent lifetimes, failure, default, reliability, credit risk
JDCEV Model, Multiparameter Semigroups, Multivariate Subordination, Subordinators, Time-Inhomogeneous, Multiple Commodities, Additive Subordinators
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File name: MAFI.
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JDCEV model, multiparameter semigroups, multivariate subordination, subordinators, time‐inhomogeneous, multiple commodities, additive subordinators, stochastic volatility
SubCIR, Subordinate CIR, semimartingale, subordination, Feller, semigroups, default intensity, bivariate process, default, credit risk
time dependency, time change, Bochner's subordination, additive subordination,diffusions, jumps, derivative pricing, spread options
Basic Affine Jump Diffusion, subordination, transition density
electricity spot prices, electricity futures and futures options, spikes, mean-reversion, seasonality, stochastic time change, Laplace transform
File name: mafi.
Commodity derivatives, Additive processes, Time change Ornstein-Uhlenbeck, Time-dependent and mean-reverting jumps, Eigenfunction expansions
Mortality Rates, Statistics, Time Series, Mortality Forecasting
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