Searching for "A Time for Change." – sorted by Relevance.
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Time-changed birth processes and multiname credit. Working paper, available at defaultrisk.com
- … introduce a time-changed birth process as a probabilistic model of correlated event timing. The self…
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Asset Prices are Brownian motion: only in Business Time
- …. However, we show that continuity and normality can always be obtained after a time change. We study…
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Local likelihood modeling of the concept drift phenomenon
- … by a time-changing process or distribution. Such a drift in the underlying distribution cannot…
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Dependent Events and Changes of Time
- …. In this article we consider the converse to this result. We construct a time change with continuous paths…
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The stepping stone model, II: Genealogies and the infinite sites model, submitted
- … that the genealogy of a sample of size n is given by a time change of Kingman’s coalescent. With DNA sequence data…
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MULTI-SCALE TIME-CHANGED BIRTH PROCESSES FOR PRICING MULTI-NAME CREDIT DERIVATIVES
- … of [2], which takes the loss process as a time changed birth process. We introduce stochastic parameter…
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Coalescent theory for seed bank models
- … is equivalent to a time-changed version of Kingman’s coalescent. Running head: Seed Bank Coalescents Keywords…
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Stochastic Volatility for Lévy Processes
- …¶evy processes at a time change given by the integral of a square root process. A positive stock price process…
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Credit risk modelling using time-changed Brownian motion
- … of Jarrow, Lando and Turnbull, we propose to model the firm value process as a time-changed Brownian motion…
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Credit Risk Models with Incomplete Information
- … types of delayed information, continuous and discrete: the first generated by a time change…
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