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~subject:"Kreditrisiko"
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Kreditrisiko
Stochastic process
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Stochastischer Prozess
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Correlation
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stochastic correlation process
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Heston model
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Option pricing theory
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Optionspreistheorie
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Credit default swaps
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Credit derivative
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Kreditderivat
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Portfolio selection
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characteristic function
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counterparty risk
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default correlation
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default intensity
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quadraticexponential scheme
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risk-neutral credit valuation adjustment
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simultaneous default
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Teng, Long
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Ehrhardt, Matthias
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Günther, Michael
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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Modelling of credit risk and correlation risk : time-dependent and stochastic correlation models
Teng, Long
-
2015
Persistent link: https://www.econbiz.de/10011459905
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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