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Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives shortrate
2010/10/19
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be de...