52 citations · 52 across the 2 of their papers we have counts for
3 papers
q-fin.PR2019
Nonhedgeable risk and Credit Risk Pricing
Juan Dong, Lyudmila Korobenko, Deniz Sezer
We introduce a new model for pricing corporate bonds, which is a modification of the classical model of Merton. In this new model, we drop the liquidity assumption of the firm's as…
math.PR2016
Laws of Large Numbers for Supercritical Branching Gaussian Processes
Michael A. Kouritzin, Khoa Lê, Deniz Sezer
A general class of non-Markov, supercritical Gaussian branching particle systems is introduced and its long-time asymptotics is studied. Both weak and strong laws of large numbers…
math.ST2011★ 52 cited
Quantitative bounds for Markov chain convergence: Wasserstein and total variation distances
Neal Madras, Deniz Sezer
We present a framework for obtaining explicit bounds on the rate of convergence to equilibrium of a Markov chain on a general state space, with respect to both total variation and…