Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model
Alma P. Bimbabou Maboulou, Hopolang P. Mashele
| Year of publication: |
August 2015
|
|---|---|
| Authors: | Maboulou, Alma P. Bimbabou ; Mashele, Hopolang P. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 3, p. 273-285
|
| Subject: | Credit Derivative | Credit Default Swap | Hazard Rate | Credit Spread | Default Able Bond | CIR Model | Kreditrisiko | Credit risk | Derivat | Derivative | Zinsstruktur | Yield curve | Kreditderivat | Credit derivative | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Unternehmensanleihe | Corporate bond | Kreditwürdigkeit | Credit rating | Swap | Insolvenz | Insolvency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2015.53024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011438513