Credit derivative evaluation and CVA under the benchmark approach
Jan Baldeaux, Eckhard Platen
| Year of publication: |
September 2015
|
|---|---|
| Authors: | Baldeaux, Jan ; Platen, Eckhard |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 3, p. 305-331
|
| Subject: | Credit derivatives | Credit valuation adjustment | Benchmark approach | Affine processes | Real world pricing | Kreditrisiko | Credit risk | Derivat | Derivative | Kreditderivat | Credit derivative | Benchmarking | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-015-9204-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011524811