Brigo, Damiano; Alfonsi, Aurélien - In: Finance and Stochastics 9 (2005) 1, pp. 29-42
We introduce the two-dimensional shifted square-root diffusion (SSRD) model for interest-rate and credit derivatives with (positive) stochastic intensity. The SSRD is the unique explicit diffusion model allowing an automatic and separated calibration of the term structure of interest rates and...