First-passage times of two-dimensional Brownian motion
First-passage times (FPTs) of two-dimensional Brownian motion have many applications in
quantitative finance. However, despite various attempts since the 1960s, there are few …
quantitative finance. However, despite various attempts since the 1960s, there are few …
An improved approach to evaluate default probabilities and default correlations with consistency
W Li, T Krehbiel - International Journal of Theoretical and Applied …, 2016 - World Scientific
We provide (i) a simplified analytic closed form formula for evaluating joint default
probability,(ii) an improved method to resolve the inconsistency between the univariate …
probability,(ii) an improved method to resolve the inconsistency between the univariate …
[PDF][PDF] Predatory pricing under uncertainty: revisiting the deep pocket argument
MN Lavrutich, JJJ Thijssen - 2016 - realoptions.org
In this paper we develop a stochastic dynamic model of predatory pricing. When profits
evolve stochastically, a negative demand shock can lead to bankruptcy for firms, which …
evolve stochastically, a negative demand shock can lead to bankruptcy for firms, which …
First passage times of two-dimensional correlated diffusion processes with application to neural modelling
L Sacerdote - BOOK OF ABSTRACTS, 2016 - researchgate.net
A large literature concerns First Passage Time problems (FPT) for one dimensional diffusion
processes through constant or time dependent boundaries. Analytical, numerical as well as …
processes through constant or time dependent boundaries. Analytical, numerical as well as …