Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk

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Title: Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
Authors: Davis, MHA
Pistorius, MR
Item Type: Report
Issue Date: 1-Oct-2015
URI: http://hdl.handle.net/10044/1/19220
Copyright Statement: © 2014 The Authors
Notes: 21pp. 2 figures
Appears in Collections:Financial Mathematics



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