Stochastic and Copula Models for Credit Derivatives

By Chao Meng

We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 3639212576
• ISBN13: 9783639212570
• Release Date: February 2010
• Publisher: VDM Verlag
• Length: 100 Pages
• Weight: 0.35 lbs.
• Dimensions: 0.2" x 6.0" x 9.0"