Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Year of publication: |
2009
|
---|---|
Authors: | Papageorgiou, Evan ; Sircar, Kaushik Ronnie |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 16.2009, 3/4, p. 353-383
|
Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory |
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