The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751): Difference between revisions

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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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+Pricing the risks of default
@@ Property / cites work: Pricing the risks of default / rank @@
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+Stock market prices and long-range dependence
@@ Property / cites work: Stock market prices and long-range dependence / rank @@
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+Q3396055
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+Q3667770
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+Stochastic analysis of fractional brownian motions
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+A note on Wick products and the fractional Black-Scholes model
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+Arbitrage in fractional Brownian motion models
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+Pricing currency options in the mixed fractional Brownian motion
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+Q3551324
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+Stochastic Calculus for Fractional Brownian Motion I. Theory
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+A General Fractional White Noise Theory And Applications To Finance
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+Mixed fractional Brownian motion
@@ Property / cites work: Mixed fractional Brownian motion / rank @@
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+When is a linear combination of independent fBm's equivalent to a single fBm?
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+Stochastic Calculus for Fractional Brownian Motion and Applications
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