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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
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Search: subject_exact:"CDS (Credit Default Swap)"
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Credit derivative
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Kreditderivat
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Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
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Yield curve
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Zinsstruktur
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Credit risk
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Euler-Maruyama stochastic integral approximation
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Option pricing theory
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Chiarella, Carl
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Fanelli, Viviana
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Musti, Silvana
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Chege Maina, Samuel
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Journal of banking & finance
65
The journal of structured finance
51
The journal of fixed income
40
International review of financial analysis
38
Finance research letters
37
Journal of financial stability
35
Journal of international financial markets, institutions & money
34
The journal of credit risk : published quarterly by Incisive Media
31
International journal of theoretical and applied finance
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Journal of financial economics
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NBER working paper series
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Journal of international money and finance
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NBER Working Paper
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The journal of futures markets
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The review of financial studies
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Working paper / National Bureau of Economic Research, Inc.
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The North American journal of economics and finance : a journal of financial economics studies
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IMF working papers
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Discussion paper / Centre for Economic Policy Research
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Applied economics
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Economic modelling
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International review of economics & finance : IREF
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Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Working paper series / European Central Bank
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Review of finance : journal of the European Finance Association
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Review of quantitative finance and accounting
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Finance and economics discussion series
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Swiss Finance Institute Research Paper
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ECB Working Paper
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Research in international business and finance
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The European journal of finance
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Economics letters
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Credit derivative evaluation and CVA under the benchmark approach
Baldeaux, Jan
;
Platen, Eckhard
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2013
Persistent link: https://www.econbiz.de/10009713743
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2
Credit derivative pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2011
Persistent link: https://www.econbiz.de/10009564618
Saved in:
3
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
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4
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
5
A causal framework for credit default theory
Sy, Wilson
-
2007
Persistent link: https://www.econbiz.de/10003856725
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