Enhancing credit default swap valuation with meshfree methods
Year of publication: |
2011
|
---|---|
Authors: | Guarin, Alexander ; Liu, Xiaoquan ; Wing Lon Ng |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 214.2011, 3 (1.11.), p. 805-813
|
Subject: | Theorie | Theory | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Swap |
-
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan, (2014)
-
Credit default swaps and debt overhang
Wong, Tak-Yuen, (2022)
-
Bomfim, AntĂșlio N., (2022)
- More ...
-
Recovering default risk from CDS spreads with a nonlinear filter
Guarin, Alexander, (2014)
-
Enhancing credit default swap valuation with meshfree methods
Guarin, Alexander, (2011)
-
Recovering default risk from CDS spreads with a nonlinear filter
Guarin, Alexander, (2014)
- More ...