Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach
Dylan D'Souza, Keyvan Amir-Atefi, and Borjana Racheva-Jotova
| Year of publication: |
2003
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|---|---|
| Authors: | D'Souza, Dylan ; Amir-Atefi, Keyvan ; Racheva-Jotova, Borjana |
| Published in: |
Credit risk : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures. - Heidelberg [u.a.] : Physica-Verlag, ISBN 3-7908-0054-6. - 2003, p. 49-84
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| Subject: | Kreditrisiko | Credit risk | Derivat | Derivative | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Theorie | Theory | Kreditderivat | Credit derivative |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002001435