Pascal Tomecek

Cornell University

Ithaca, NY 14853

United States

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

1.

Time-Changed Birth Processes and Multi-Name Credit Derivatives

Operations Research, Forthcoming
Number of pages: 32 Posted: 05 Jan 2007 Last Revised: 15 Jun 2016
Kay Giesecke, Xiaowei Ding and Pascal Tomecek
Stanford University - Department of Management Science & Engineering, Stanford University and Cornell University
Downloads 385 (147,229)

Abstract:

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Self-affecting point process, birth process, event feedback, time change, portfolio credit derivative