Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Damiano Brigo; Aurélien Alfonsi
| Year of publication: |
2005
|
|---|---|
| Authors: | Brigo, Damiano ; Alfonsi, Aurélien |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 9.2005, 1, p. 29-42
|
| Subject: | Kreditversicherung | Credit insurance | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Kreditderivat | Credit derivative |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002497060