Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Leslie Ng
| Year of publication: |
2013
|
|---|---|
| Authors: | Ng, Leslie |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 8, p. 1-33
|
| Subject: | Stochastic intensity | credit value adjustment | wrong way risk | Black-Karasinski model | Hull-White multi-factor interest rate model | credit default swaps | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Kreditderivat | Credit derivative | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Risiko | Risk | Zinsderivat | Interest rate derivative |
| 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://ebvufind01.dmz1.zbw.eu/10010243617