arXiv subjects

Hyong-Chol O

Publications and source records attributed to Hyong-Chol O.

21 records · Page 2Linked to original sources

arXiv2013

Representation of Solutions of Linear Homogeneous Caputo Fractional Differential Equations with Continuous Variable Coefficients

We consider the canonical fundamental systems of solutions of linear homogeneous Caputo fractional differential equations with continuous variable coefficients. Here we gained a series-representation of the canonical fundamental system by coefficients of the considered equations and the representation of solution to initial value problems using the canonical fundamental system. According to our results, the canonical fundamental system of solutions to linear homogeneous differential equation with Caputo fractional derivatives and continuous variable coefficients has different representations according to the distributions of the lowest order of the fractional derivatives in the equation and the distance from the highest order to its adjacent order of the fractional derivatives in the equation.

math.CA↗

arXiv2013

Analytical Pricing of Defaultable Bond with Stochastic Default Intensity

We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1)expected default recovery is the same with unexpected default recovery; 2) default intensity follows one of 3 special cases of Willmott model; 3) default intensity is uncorrelated with firm value. Then we derived a pricing formula of a credit default swap. And in the case of stochastic short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1) expected default recovery is the same with unexpected default recovery; 2) the short rate follows Vasicek model; 3) default intensity follows one of 3 special cases of Willmott model; 4) default intensity is uncorrelated with firm value; 5) default intensity is uncorrelated with short rate. Then we derived a pricing formula of a credit default swap. We give some credit spread analysis, too.

q-fin.PR↗

arXiv2013

Equiaffine Structure and Conjugate Ricci-symmetry of a Statistical Manifold

A condition for a statistical manifold to have an equiaffine structure is studied. The facts that dual flatness and conjugate symmetry of a statistical manifold are sufficient conditions for a statistical manifold to have an equiaffine structure were obtained in [2] and [3]. In this paper, a fact that a statistical manifold, which is conjugate Ricci-symmetric, has an equiaffine structure is given, where conjugate Ricci-symmetry is weaker condition than conjugate symmetry. A condition for conjugate symmetry and conjugate Ricci-symmetry to coincide is also given.

math.DS↗