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person:"Caporale, Guglielmo Maria"
~person:"Chiarella, Carl"
~isPartOf:"European journal of operational research : EJOR"
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Credit derivative
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Euler-Maruyama stochastic integral approximation
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HJM (Heath-Jarrow-Morton) model
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Caporale, Guglielmo Maria
Chiarella, Carl
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European journal of operational research : EJOR
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Computational methods in financial engineering : essays in honour of Manfred Gilli
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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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
- In:
European journal of operational research : EJOR
208
(
2011
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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