Modeling correlated defaults : first passage model under stochastic volatility
Jean-Pierre Fouque; Brian C. Wignall; Xianwen Zhou
| Year of publication: |
2008
|
|---|---|
| Authors: | Fouque, Jean-Pierre ; Wignall, Brian C. ; Zhou, Xianwen |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 11.2007/08, 3, p. 43-78
|
| Subject: | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003699972