Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Evan Papageorgiou & Ronnie Sircar
| Year of publication: |
2009
|
|---|---|
| Authors: | Papageorgiou, Evan ; Sircar, Kaushik Ronnie |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 16.2009, 3/4, p. 353-383
|
| Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003916203