Georgi V. Smirnov

Department of Applied Mathematics, University of Porto

Rua Dr. Roberto Frias

4200-464 Porto

Portugal

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Scholarly Papers (1)

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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Tinbergen Institute Discussion Paper No. 06-024/2
Number of pages: 43 Posted: 29 Mar 2006
Andre Lucas, Andre A. Monteiro and Georgi V. Smirnov
VU University Amsterdam - Faculty of Economics and Business, Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) and Department of Applied Mathematics, University of Porto
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Abstract:

Nonhomogeneous semi-Markov processes, transition matrix, Volterra integral equations, separability, credit risk