DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES
Year of publication: |
2007
|
---|---|
Authors: | HUEHNE, FLORIAN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 03, p. 407-435
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Market model | Libor rates | intensity based model | Lévy-process | default risk | credit default swap | swaption |
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