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~isPartOf:"Discussion paper"
~isPartOf:"International finance discussion papers"
~isPartOf:"Journal of financial economics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~person:"Fanelli, Viviana"
~subject:"Kapitaleinkommen"
~subject:"Stochastic process"
~subject:"USA"
~subject:"Unternehmensanleihe"
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Credit derivative
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Euler-Maruyama stochastic integral approximation
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Fanelli, Viviana
Chiarella, Carl
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Discussion paper
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Journal of financial economics
Mathematical finance : an international journal of mathematics, statistics and financial theory
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
European journal of operational research : EJOR
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
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Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
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