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Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
Bao, Qunfang; Chen, Si; Li, Shenghong - In: Economic modelling 29 (2012) 2, pp. 471-477
Persistent link: https://www.econbiz.de/10009536792
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Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
Bao, Qunfang; Chen, Si; Li, Shenghong - In: Economic modelling 29 (2012) 2, pp. 471-478
Persistent link: https://www.econbiz.de/10009825603
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An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach
Chen, Si; Zhou, Zhen; Li, Shenghong - In: Economic modelling 58 (2016), pp. 655-664
Persistent link: https://www.econbiz.de/10011647943
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Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701