Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Michele Leonardo Bianchi, Frank J. Fabozzi
| Year of publication: |
August 2015
|
|---|---|
| Authors: | Bianchi, Michele Leonardo ; Fabozzi, Frank J. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 46.2015, 2, p. 243-273
|
| Subject: | Credit default swap | Cox-Ingersoll-Ross model | Non-Gaussian Ornstein-Uhlenbeck processes | Lévy processes | Sato processes | Filtering methods | Kreditderivat | Credit derivative | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Markov-Kette | Markov chain | Kreditversicherung | Credit insurance | Statistische Verteilung | Statistical distribution | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-014-9457-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011478467