EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING

Ovidiu Costin, Michael Gordy, Min Huang and Pawel J. Szerszen

Mathematical Finance, 2016, vol. 26, issue 4, 748-784

Date: 2016
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Working Paper: Expectations of functions of stochastic time with application to credit risk modeling (2013)
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