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~person:"Fanelli, Viviana"
~subject:"Analysis"
~type_genre:"Arbeitspapier"
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Analysis
Credit derivative
2
Euler-Maruyama stochastic integral approximation
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HJM (Heath-Jarrow-Morton) model
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Kreditderivat
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Fanelli, Viviana
Küchler, Uwe
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Platen, Eckhard
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Kohlmann, Michael
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Takahashi, Akihiko
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Buckwar, Evelyn
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
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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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