New model for pricing quanto credit default swaps
A. Itkin, V. Shcherbakov and A. Veygman
| Year of publication: |
2019
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|---|---|
| Authors: | Itkin, A. ; Shcherbakov, V. ; Veygman, A. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 3, p. 1-37
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| Subject: | Quanto credit default swaps | reduced form models | jump-at-default | stochastic interest rates | radial basis function method | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Swap | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Kreditversicherung | Credit insurance | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012019847