A Stochastic Model for Credit Spreads Under a Risk-Neutral Framework Through the Use of an Extended Version of the Jarrow, Lando and Turnbull Model

2011 ◽  
Author(s):  
Ludovic Dubrana
Keyword(s):  
Stochastic Model ◽  
Credit Spreads ◽  
Extended Version ◽  
Risk Neutral

REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS

2004 ◽  
Vol 07 (04) ◽  
pp. 407-423 ◽  
Author(s):  
EMANUELE AMERIO ◽  
PIETRO MULIERE ◽  
PIERCESARE SECCHI
Keyword(s):  
Stochastic Model ◽  
Term Structure ◽  
Default Probability ◽  
Credit Spreads ◽  
Credit Default

Based on a Reinforced Urn Process introduced by Muliere et al. [11], we propose a stochastic model for the probability of credit default for debt issuers belonging to the same Moody's rated class. The model predicts how a default probability belonging to a given term structure evolves in time as information about credit defaults of debt issuers with the same Moody's rating becomes available. Connections between implied credit default probabilities and credit spreads will be exploited.

A Fruitful Stochastic Model

1964 ◽  
Vol 9 (7) ◽  
pp. 273-276
Author(s):  
ANATOL RAPOPORT
Keyword(s):  
Stochastic Model

A Stochastic Model for Evolution of Altruistic Genes

1996 ◽  
Vol 6 (4) ◽  
pp. 445-453 ◽  
Author(s):  
Roberta Donato
Keyword(s):  
Stochastic Model

A Stochastic Model for the Inheritance of the Cancer Proneness Phenotype

1987 ◽  
Vol 26 (03) ◽  
pp. 117-123
Author(s):  
P. Tautu ◽  
G. Wagner
Keyword(s):  
Stochastic Model ◽  
Gaussian Process ◽  
Covariance Function ◽  
Neoplastic Disease ◽  
Disease Phenotype ◽  
Probabilistic Representation ◽  
Temporal Behaviour ◽  
Continuous Trait ◽  
Continuous Parameter ◽  
Level Zero

SummaryA continuous parameter, stationary Gaussian process is introduced as a first approach to the probabilistic representation of the phenotype inheritance process. With some specific assumptions about the components of the covariance function, it may describe the temporal behaviour of the “cancer-proneness phenotype” (CPF) as a quantitative continuous trait. Upcrossing a fixed level (“threshold”) u and reaching level zero are the extremes of the Gaussian process considered; it is assumed that they might be interpreted as the transformation of CPF into a “neoplastic disease phenotype” or as the non-proneness to cancer, respectively.

Stochastic Model of Traffic Jam and Traffic Signal Control

2011 ◽  
Vol 131 (2) ◽  
pp. 303-310
Author(s):  
Ji-Sun Shin ◽  
Cheng-You Cui ◽  
Tae-Hong Lee ◽  
Hee-hyol Lee
Keyword(s):  
Stochastic Model ◽  
Traffic Signal ◽  
Signal Control ◽  
Traffic Signal Control ◽  
Traffic Jam
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