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Details about Rusudan Kevkhishvili

Homepage:https://www.kevkhishvili.com/
Workplace:Graduate School of Economics and Business Administration, Hokkaido University, (more information at EDIRC)

Access statistics for papers by Rusudan Kevkhishvili.

Last updated 2025-06-10. Update your information in the RePEc Author Service.

Short-id: pke397

Jump to Journal Articles

Working Papers

2025

  1. Loss-Given-Default Modeling by Post-Last Passage Time Process
    Papers, arXiv.org Downloads

Journal Articles

2025

  1. On decomposition of the last passage time of diffusions
    Stochastic Processes and their Applications, 2025, 182, (C) Downloads

2020

  1. A direct solution method for pricing options in regime‐switching models
    Mathematical Finance, 2020, 30, (2), 547-576 Downloads View citations (2)
  2. Time reversal and last passage time of diffusions with applications to credit risk management
    Finance and Stochastics, 2020, 24, (3), 795-825 Downloads View citations (4)

2017

  1. An analysis of simultaneous company defaults using a shot noise process
    Journal of Banking & Finance, 2017, 80, (C), 135-161 Downloads View citations (2)

Undated

  1. A new approach to detecting change in credit quality
    Journal of Risk Downloads
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