On multi-particle Brownian survivals and the spherical Laplacian
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- Zhou, Chunsheng, 2001. "An Analysis of Default Correlations and Multiple Defaults," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 555-576.
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More about this item
Keywords
Brownian; Survival Probability; Hitting Time; Correlation; Laplacian; Spherical Domain; Eigenvalue;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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