EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Model with Jump"
Narrow search

Narrow search

Year of publication
Subject
All
Arbitrage-free Nelson-Siegel model with jump diffusion (AFNSJ) 1 Calibration 1 Devaluation Risk 1 Federal Open Market Committee (FOMC) meeting 1 Forward PDE 1 Lognormal hazard rate model 1 Model with Jump 1 Particle filter 1 Pricing quanto survival probablity 1 Quanto CDS 1 SOFR futures 1 Secured Overnight Financing Rate (SOFR) 1
more ... less ...
Online availability
All
Free 2
Type of publication
All
Article 1 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
All
EL-Mohammadi, Rachid 1 Fang, Dong-Jie 1 He, Jie-Cao 1 Lin, Shih-kuei 1 Yeh, Zong-Wei 1
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
MPRA Paper 1 Pacific-Basin finance journal 1
Source
All
ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
What drives jumps in the secured Overnight Financing Rate? : evidence from the arbitrage-free Nelson-Siegel model with jump diffusion
Fang, Dong-Jie; Yeh, Zong-Wei; He, Jie-Cao; Lin, Shih-kuei - In: Pacific-Basin finance journal 86 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015095106
Saved in:
Cover Image
BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk
EL-Mohammadi, Rachid - Volkswirtschaftliche Fakultät, … - 2009
We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the...
Persistent link: https://www.econbiz.de/10011108261
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...