Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Michael B. Walker
| Year of publication: |
2009
|
|---|---|
| Authors: | Walker, Michael B. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 5, p. 633-662
|
| Subject: | Derivat | Derivative | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process |
| 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/10003899505