2 papers
q-fin.ST2008★ 2 cited
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Peter Spreij, Enno Veerman, Peter Vlaar
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuou…
q-fin.CP2008
Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
Vincent Leijdekker, Peter Spreij
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox proce…