Bihary Zsolt (Morgan-Stanley)

Pontfolyamatok alkalmazasa hitel-derivativak modellezeseben

 

 We will discuss different point processes and their applications in modelling credit derivatives.
Simple Poisson process
Compound Poisson process
Mixed Poisson process
Poisson Process with stochastic intensity (Cox process)
Self-exciting Poisson process (Hawkes process)

 

Időpont: okt. 5. kedd 16:15 Helye: BME, K épület alagsor 66.

fõoldal