Identifier
etd-07022008-143903
Degree
Doctor of Philosophy (PhD)
Department
Mathematics
Document Type
Dissertation
Abstract
We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, we prove several results on the sensitivity of quantities connected with the hitting times to parameters of the model, as well as the large-N behavior. We discuss the relationship of these results to certain credit derivative instruments. Relevant simulations are presented.
Date
2008
Document Availability at the Time of Submission
Release the entire work immediately for access worldwide.
Recommended Citation
Meng, Chao, "Stochastic and copula models for credit derivatives" (2008). LSU Doctoral Dissertations. 1719.
https://repository.lsu.edu/gradschool_dissertations/1719
Committee Chair
Sengupta, Ambar N.
DOI
10.31390/gradschool_dissertations.1719