A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS (Q3632193): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
(3 intermediate revisions by 3 users not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Numerical Inversion of Laplace Transforms of Probability Distributions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4002919 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Credit risk: Modelling, valuation and hedging / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Pricing double barrier options using Laplace transforms / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1142/s0219024909005142 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2046170732 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 08:28, 30 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS |
scientific article |
Statements
A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS (English)
0 references
23 June 2009
0 references
CDO
0 references
credit derivatives
0 references
Markov chain
0 references
correlation
0 references
Laplace transform
0 references
copula
0 references
default risk
0 references