Exponential power jump diffusion di gray david (5 risultati)
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Da: preigu, Osnabrück, Germaniapreigu
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Taschenbuch. Condizione: Neu. Exponential Power Jump Diffusion Model Applied to Credit Risk | David Clarence Gray (u. a.) | Taschenbuch | Englisch | 2021 | LAP LAMBERT Academic Publishing | EAN 9786204207506 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de… | Anbieter: preigu.
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermaniaBuchWeltWeit Ludwig Meier e.K.
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This study formulated a model for the evolution of a firm's value, obtained the probability of a firm's default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of t…he value of the firm is assumed to be a combination of a diffusion process and a jump process driven by an exponential power distribution. Within the framework of structural models of credit risk, the Nikkie 225 asset value was modelled by a jump-diffusion process. A compound Poisson process driven by an exponential power distribution was used as the jump component to construct a jump diffusion model for the Nikkie 225 asset value and the diffusion component was modelled by a geometric Brownian process. The Ito's formula for a jump-diffusion process was used to establish the solution to the proposed model. The distribution of the jump-diffusion process together with the assumption that default on the debt contract can only occur at maturity was used to obtain the probability of default of the firm. 104 pp. Englisch.
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Da: moluna, Greven, Germaniamoluna
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Gray David ClarenceD. Gray is an instructor of Mathematics and Statistics at the University of Liberia. He received his B.Sc. in Mathematics from the University of Liberia and M.Sc. in Regional plannin…g from the University of Liberia.
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germaniabuchversandmimpf2000
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This study formulated a model for the evolution of a firm's value, obtained the probability of a firm's default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of the v…alue of the firm is assumed to be a combination of a diffusion process and a jump process driven by an exponential power distribution. Within the framework of structural models of credit risk, the Nikkie 225 asset value was modelled by a jump-diffusion process. A compound Poisson process driven by an exponential power distribution was used as the jump component to construct a jump diffusion model for the Nikkie 225 asset value and the diffusion component was modelled by a geometric Brownian process. The Ito's formula for a jump-diffusion process was used to establish the solution to the proposed model. The distribution of the jump-diffusion process together with the assumption that default on the debt contract can only occur at maturity was used to obtain the probability of default of the firm.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 104 pp. Englisch.
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Da: AHA-BUCH GmbH, Einbeck, GermaniaAHA-BUCH GmbH
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EUR 60,87 spedizioneSpedito da Germania a U.S.A.Quantità: 1 disponibili
Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This study formulated a model for the evolution of a firm's value, obtained the probability of a firm's default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of the va…lue of the firm is assumed to be a combination of a diffusion process and a jump process driven by an exponential power distribution. Within the framework of structural models of credit risk, the Nikkie 225 asset value was modelled by a jump-diffusion process. A compound Poisson process driven by an exponential power distribution was used as the jump component to construct a jump diffusion model for the Nikkie 225 asset value and the diffusion component was modelled by a geometric Brownian process. The Ito's formula for a jump-diffusion process was used to establish the solution to the proposed model. The distribution of the jump-diffusion process together with the assumption that default on the debt contract can only occur at maturity was used to obtain the probability of default of the firm.
