CUTTING EDGE Credit derivatives - Intensity gamma - The authors develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution.
| Year of publication: |
2006
|
|---|---|
| Authors: | Joshi, Mark ; Stacey, Alan |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 7, p. 78-83
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