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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

2024

  1. Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution
    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 (3)

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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