4 papers
Iterated Poisson Processes for Catastrophic Risk Modeling in Ruin Theory
Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit +2
This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applicati…
Does Bankruptcy Protection Affect Asset Prices? Evidence from changes in Homestead Exemptions
Yildiray Yildirim, Albert Alex Zevelev
Does the ability to protect an asset from unsecured creditors affect its price? This paper identifies the impact of bankruptcy protection on house prices using 139 changes in homes…
Housing Market Microstructure
Hazer Inaltekin, Robert Jarrow, Mehmet Saglam +1
In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are con…
Modeling Credit Risk with Partial Information
Umut Cetin, Robert Jarrow, Philip Protter +1
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and…