Details about Rusudan Kevkhishvili
Access statistics for papers by Rusudan Kevkhishvili.
Last updated 2022-08-25. Update your information in the RePEc Author Service.
Short-id: pke397
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Journal Articles
Working Papers
2024
- Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution
Papers, arXiv.org
Journal Articles
2020
- A direct solution method for pricing options in regime‐switching models
Mathematical Finance, 2020, 30, (2), 547-576
View citations (2)
- Time reversal and last passage time of diffusions with applications to credit risk management
Finance and Stochastics, 2020, 24, (3), 795-825
View citations (3)
2017
- An analysis of simultaneous company defaults using a shot noise process
Journal of Banking & Finance, 2017, 80, (C), 135-161
View citations (2)