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A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
Failing system Urn model Neutral to the right processes
2010/10/19
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example be...
State Tameness: A New Approach for Credit Constrains
arbitrage pricing of contingent claims continuous-time nancial markets tame-ness
2009/4/28
We propose a new definition for tameness within the model of security prices as Itô processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a t...