PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 19:21, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL |
scientific article |
Statements
PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (English)
0 references
15 August 2013
0 references
affine point processes
0 references
Markov switching
0 references
Hawkes process
0 references
credit spread
0 references
CDO
0 references
