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|Scopus||Web of Science®||Altmetric|
|Title:||Default times in a continuous time Markov chain economy|
Van Der Hoek, J.
|Citation:||Applied Mathematical Finance, 2013; 20(5):450-460|
|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.|
stochastic discount function
|Description:||Published online: 29 Jan 2013|
|Rights:||© 2013 Taylor & Francis|
|Appears in Collections:||Aurora harvest 4|
Mathematical Sciences publications
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