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Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/360210
Description: We propose alternative structural credit risk models for determining probabilities of default (PDs) based on two well-known Lévy processes - the Variance Gamma (VG) process and the Normal Inverse Gaus ... More
Reviewed: Reviewed
Authors: Perera, Ryle S
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/104951
Description: Numerous researchers have applied the martingale approach for models driven by Lévy processes to study optimal investment problems. The aim of this paper is to apply the martingale approach to obtain ... More
Reviewed: Reviewed
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