most citedPricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market

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math.DS2023

Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems

F. Lillo, G. Livieri, S. Marmi +2

We investigate and prove the mathematical properties of a general class of one-dimensional unimodal smooth maps perturbed with a heteroscedastic noise. Specifically, we investigate…