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A Regime Switching Jump-Diffusion Model and its Application to Credit Risk and Option Pricing

dc.rights.licenseCC-BY-NC-ND
dc.contributor.advisorBagchi, Prof. dr. A.
dc.contributor.advisorDajani, Dr. K.
dc.contributor.advisorFokkema, Dr. D.R.
dc.contributor.authorRadnev, S.T.
dc.date.accessioned2012-09-28T17:01:26Z
dc.date.available2012-09-28
dc.date.available2012-09-28T17:01:26Z
dc.date.issued2012
dc.identifier.urihttps://studenttheses.uu.nl/handle/20.500.12932/11705
dc.description.sponsorshipUtrecht University
dc.format.extent816921 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.titleA Regime Switching Jump-Diffusion Model and its Application to Credit Risk and Option Pricing
dc.type.contentMaster Thesis
dc.rights.accessrightsOpen Access
dc.subject.keywordsRegime Switching Jump-Diffusion, Credit Risk, Calibration, MLE, EM, Inverse Problem, Probabilities of Default, Option Pricing, SA, FFT
dc.subject.courseuuMathematical Sciences


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