Frey, Rüdiger, Kurt, Kevin, Damian, Camilla. 2019. Conditionally affine processes with Markov modulated mean reversion and applications in credit risk. QMF 2019 - Quantitative Methods in Finance 2019 Conference, University of Technology, Sydney, Australien, 17.12.-20.12. Invited Talk
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Paper presented at an academic conference or symposium |
| Language | English |
| Title | Conditionally affine processes with Markov modulated mean reversion and applications in credit risk. |
| Event | QMF 2019 - Quantitative Methods in Finance 2019 Conference, University of Technology |
| Year | 2019 |
| Date | 17.12.-20.12. |
| Country | Australia |
| Location | Sydney |
| URL | https://www.uts.edu.au/research-and-teaching/our-research/quantitative-finance-research/events/qmf-2019 |
| Invited Talk | Y |
Associations
- People
- Frey, Rüdiger (Details)
- Kurt, Kevin (Details)
- Damian, Camilla (Former researcher)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1118 Probability theory (Details)
- 1137 Financial mathematics (Details)
- 5361 Financial management (Details)