A dynamic approach to the modeling of correlation credit derivatives using Markov chains
Year of publication: |
2009
|
---|---|
Authors: | Di Graziano, Giuseppe ; Rogers, Leonard C. G. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 1, p. 45-62
|
Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Korrelation | Correlation | Markov-Kette | Markov chain |
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