Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 02:36, 5 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk |
scientific article |
Statements
Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (English)
0 references
5 August 2010
0 references
swaption
0 references
CMS
0 references
affine term structure model
0 references
convexity adjustment
0 references
credit derivative
0 references
survival contingent measure
0 references
