Pricing credit derivatives in a Markov-modulated reduced-form model
Tamal Banerjee, Mrinal K. Ghosh and Srikanth K. Iyer
| Year of publication: |
2013
|
|---|---|
| Authors: | Banerjee, Tamal ; Ghosh, Mrinal K. ; Iyer, Srikanth K. |
| 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, 4, p. 1-43
|
| Subject: | Affine point processes | Markov switching | Hawkes process | credit spread | CDO | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Derivat | Derivative | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium |
| 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/10009779788