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Showing 1 to 1 of 1 for “"Zinsderivate"”.
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
In this thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward …