Modeling the dynamics of credit spreads with stochastic volatility
Year of publication: |
2008
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Authors: | Jacobs, Kris ; Li, Xiaofei |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 54.2008, 6, p. 1176-1188
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Subject: | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Operations Research | Operations research |
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