Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152): Difference between revisions

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Latest revision as of 02:09, 3 July 2024

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Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk
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    Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (English)
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    5 August 2010
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    swaption
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    CMS
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    affine term structure model
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    convexity adjustment
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    credit derivative
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    survival contingent measure
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