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  • Search: subject:"entropy-based calibration"
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Credit default 2 credit default swap 2 entropy-based calibration 2 hyper-exponential jump diffusion 2 spectrally negative Kou process 2 structural model 2 Credit derivative 1 Credit risk 1 Kreditderivat 1 Kreditrisiko 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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HELLMICH, MARTIN 1 Hellmich, Martin 1 KASSBERGER, STEFAN 1 Kassberger, Stefan 1 SCHMIDT, WOLFGANG M. 1 Schmidt, Wolfgang M. 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK
HELLMICH, MARTIN; KASSBERGER, STEFAN; SCHMIDT, WOLFGANG M. - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350021-1
This paper investigates a structural credit default model that is based on a hyper-exponential jump diffusion process for the value of the firm. For credit default swap prices and other quantities of interest, explicit expressions for the corresponding Laplace transforms are derived. The...
Persistent link: https://www.econbiz.de/10011011291
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Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin; Kassberger, Stefan; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
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