Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
| Year of publication: |
2005
|
|---|---|
| Authors: | Brigo, Damiano ; Alfonsi, Aurélien |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 13563397. - Vol. 9.2005, 1, p. 29-42
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