Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (Q3652704): Difference between revisions
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scientific article
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English | Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives |
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Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (English)
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16 December 2009
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collateralized debt obligations
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intensity-based model
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stochastic volatility
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asymptotic approximation
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multiple time scales
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homogeneous-group factor models
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bottom-up
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top-down
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