CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS (Q5389105): Difference between revisions

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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+The Lévy LIBOR model
@@ Property / cites work: The Lévy LIBOR model / rank @@
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+Consistency problems for Heath-Jarrow-Morton interest rate models
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+Term-structure models. A graduate course
@@ Property / cites work: Term-structure models. A graduate course / rank @@
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+DYNAMIC CDO TERM STRUCTURE MODELING
@@ Property / cites work: DYNAMIC CDO TERM STRUCTURE MODELING / rank @@
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES
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+Exponential moments for HJM models with jumps
@@ Property / cites work: Exponential moments for HJM models with jumps / rank @@
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+AN INFINITE FACTOR MODEL FOR CREDIT RISK
@@ Property / cites work: AN INFINITE FACTOR MODEL FOR CREDIT RISK / rank @@
+Normal rank