Credit gap risk in a first passage time model with jumps
Natalie Packham, Lutz Schlögl and Wolfgang M. Schmidt
| Year of publication: |
2009
|
|---|---|
| Authors: | Packham, Natalie ; Schlögl, Lutz ; Schmidt, Wolfgang M. |
| Publisher: |
Frankfurt, M : Frankfurt School of Finance & Management |
| Subject: | Derivat | Derivative | Zins | Interest rate | Risikoprämie | Risk premium | Kreditderivat | Credit derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Extent: | 31 S. graph. Darst. |
|---|---|
| Series: | Working paper series / Centre for Practical Quantitative Finance. - Frankfurt, M. : Frankfurt School of Finance & Management, ZDB-ID 2373355-X. - Vol. No. 22 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G24 - Investment Banking; Venture Capital; Brokerage ; C69 - Mathematical Methods and Programming. Other |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003906967