Credit Risk Models Based on Time Changed Brownian Motion - ICMS
Credit Risk Models Based on Time Changed Brownian Motion - ICMS
Credit Risk Models Based on Time Changed Brownian Motion - ICMS
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C<strong>on</strong>clusi<strong>on</strong>1 By taking Lt = X Gt with different time changes G t , <strong>on</strong>e has a richvariety of generalized Black-Cox models;Tom Hurd (McMaster) <strong>Time</strong> <strong>Changed</strong> <strong>Brownian</strong> Moti<strong>on</strong> <strong>ICMS</strong> 2007 21 / 20