Valuation of portfolio credit derivatives with default intensities using the Vasicek model
Jin Liang; Jun Mei Ma; Tao Wang; Qin Ji
| Year of publication: |
2010
|
|---|---|
| Authors: | Liang, Jin ; Ma, Jun Mei ; Wang, Tao ; Ji, Qin |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 18.2011, 1, p. 33-54
|
| Subject: | Kreditrisiko | Credit risk | Derivat | Derivative | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Kreditderivat | Credit 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://www.econbiz.de/10009237750