2 citations · 2 across the 1 of their papers we have counts for
2 papers
math.PR2021★ 2 cited
Markov-Modulated Affine Processes
Kevin Kurt, Rüdiger Frey
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a fu…
q-fin.PR2020
How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models
Rüdiger Frey, Kevin Kurt, Camilla Damian
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called…