Adelaide Research & Scholarship
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https://hdl.handle.net/2440/78554
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| Type: | Journal article |
| Title: | Default times in a continuous time Markov chain economy |
| Author: | Elliott, R. Van Der Hoek, J. |
| Citation: | Applied Mathematical Finance, 2013; 20(5):450-460 |
| Publisher: | Routledge |
| Issue Date: | 2013 |
| ISSN: | 1350-486X 1466-4313 |
| Statement of Responsibility: | Robert J. Elliott & John Van Der Hoek |
| 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. |
| Keywords: | Continuous time Markov chain default time stochastic discount function credit risk |
| Description: | Published online: 29 Jan 2013 |
| Rights: | © 2013 Taylor & Francis |
| DOI: | 10.1080/1350486X.2012.755825 |
| Published version: | http://dx.doi.org/10.1080/1350486x.2012.755825 |
| Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
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