Adelaide Research & Scholarship
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https://hdl.handle.net/2440/78554
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Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Elliott, R. | - |
| dc.contributor.author | Van Der Hoek, J. | - |
| dc.date.issued | 2013 | - |
| dc.identifier.citation | Applied Mathematical Finance, 2013; 20(5):450-460 | - |
| dc.identifier.issn | 1350-486X | - |
| dc.identifier.issn | 1466-4313 | - |
| dc.identifier.uri | http://hdl.handle.net/2440/78554 | - |
| dc.description | Published online: 29 Jan 2013 | - |
| dc.description.abstract | A continuous time financial market is considered where randomness is modelled by a finite state Markov chain. Using the chain, a stochastic discount factor is defined. The probability distributions of default times are shown to be given by solutions of a system of coupled partial differential equations. | - |
| dc.description.statementofresponsibility | Robert J. Elliott & John Van Der Hoek | - |
| dc.language.iso | en | - |
| dc.publisher | Routledge | - |
| dc.rights | © 2013 Taylor & Francis | - |
| dc.source.uri | http://dx.doi.org/10.1080/1350486x.2012.755825 | - |
| dc.subject | Continuous time | - |
| dc.subject | Markov chain | - |
| dc.subject | default time | - |
| dc.subject | stochastic discount function | - |
| dc.subject | credit risk | - |
| dc.title | Default times in a continuous time Markov chain economy | - |
| dc.type | Journal article | - |
| dc.identifier.doi | 10.1080/1350486X.2012.755825 | - |
| pubs.publication-status | Published | - |
| Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications | |
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