Non-linear Gaussian sovereign CDS pricing models
Marco Realdon
| Year of publication: |
2019
|
|---|---|
| Authors: | Realdon, Marco |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 2, p. 191-210
|
| Subject: | Black model | Black-Karasinski model | Discrete time quadratic model | Extended Kalman Filter | Method of lines | Sovereign CDS pricing | Kreditderivat | Credit derivative | Zustandsraummodell | State space model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1459808 [DOI] |
| Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194648