Pricing basket default swaps in a tractable shot noise model (Q553040): Difference between revisions

@@ Property / author @@
-Ji-Wook Jang
@@ Property / author: Ji-Wook Jang / rank @@
-Normal rank
@@ Property / author @@
+Ji-Wook Jang
@@ Property / author: Ji-Wook Jang / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C20
@@ Property / Mathematics Subject Classification ID: 65C20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5932080
@@ Property / zbMATH DE Number: 5932080 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+credit risk
@@ Property / zbMATH Keywords: credit risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+intensity-based models
@@ Property / zbMATH Keywords: intensity-based models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dependence modelling
@@ Property / zbMATH Keywords: dependence modelling / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+shot noise
@@ Property / zbMATH Keywords: shot noise / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+\(k\)th-to-default swaps
@@ Property / zbMATH Keywords: \(k\)th-to-default swaps / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2011.03.018
+Normal rank
@@ Property / OpenAlex ID @@
+W2030984373
@@ Property / OpenAlex ID: W2030984373 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
+Normal rank
@@ Property / cites work @@
+Term-structure models. A graduate course
@@ Property / cites work: Term-structure models. A graduate course / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Q4884542
@@ Property / cites work: Q4884542 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:553040