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nlin.CD2007★ 17 cited
Surprising relations between parametric level correlations and fidelity decay
H. Kohler, I. Smolyarenko, C. Pineda +3
Unexpected relations between fidelity decay and cross form--factor, i.e., parametric level correlations in the time domain are found both by a heuristic argument and by comparing e…
q-fin.RM2007★ 26 cited
Credit risk - A structural model with jumps and correlations
Rudi Schäfer, Markus Sjölin, Andreas Sundin +2
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors,…