PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530): Difference between revisions

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Revision as of 19:01, 6 July 2024

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PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL
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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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