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Numerical analysis of an extended structural default model with mutual liabilities and jump risk.
Vadim Kaushansky
Alexander Lipton
Christoph Reisinger
Published in:
J. Comput. Sci. (2018)
Keyphrases
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numerical analysis
formal model
probabilistic model
statistical model
computational model
sensitivity analysis
cost function
markov chain
theoretical analysis
mathematical model
em algorithm
experimental data
decision making
data model
prior knowledge
objective function
high level