PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530): Difference between revisions
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Latest revision as of 10:03, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL |
scientific article |
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PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (English)
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15 August 2013
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affine point processes
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Markov switching
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Hawkes process
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credit spread
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CDO
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