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Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin; Kassberger, Stefan; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
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Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
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CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK
HELLMICH, MARTIN; KASSBERGER, STEFAN; SCHMIDT, WOLFGANG M. - In: International journal of theoretical and applied finance 16 (2013) 4
Persistent link: https://www.econbiz.de/10010151930