A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
Year of publication: |
January 2017
|
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Authors: | Cantia, Catalin ; Tunaru, Radu |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 21-35
|
Subject: | Time-change | Mean-reverting process with jumps | CDS pricing | Credit index pricing | Tranche pricing | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Swap | Aktienindex | Stock index | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Index | Index number | Risikoprämie | Risk premium | Derivat | Derivative |
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