Time-changed CIR default intensities with two-sided mean-reverting jumps

Published 2014 View Full Article

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Title
Time-changed CIR default intensities with two-sided mean-reverting jumps
Authors
Keywords
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Journal
ANNALS OF APPLIED PROBABILITY
Volume 24, Issue 2, Pages 811-856
Publisher
Institute of Mathematical Statistics
Online
2014-03-10
DOI
10.1214/13-aap936

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