NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS (Q5376999): Difference between revisions

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Revision as of 07:28, 19 July 2024

scientific article; zbMATH DE number 7057292
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English
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS
scientific article; zbMATH DE number 7057292

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    NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS (English)
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    21 May 2019
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    quanto credit default swaps
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    reduced form models
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    jump-at-default
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    stochastic interest rates
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    radial basis function method
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