Ovidiu Costin

Ohio State University (OSU)

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Scholarly Papers (1)

Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling

FEDS Working Paper No. 2013-14
Number of pages: 40 Posted: 09 Apr 2013
Ohio State University (OSU), Board of Governors of the Federal Reserve, University of Chicago and Board of Governors of the Federal Reserve System
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Stochastic time change, default intensity, credit risk, CDS options

Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling

Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Number of pages: 37 Posted: 20 Sep 2016
Ohio State University (OSU), Board of Governors of the Federal Reserve, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
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Abstract:

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time change, default intensity, credit risk, CDS options