Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424): Difference between revisions

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Revision as of 00:34, 3 August 2024

scientific article; zbMATH DE number 7743075
Language Label Description Also known as
English
Affine term structure models: A time‐change approach with perfect fit to market curves
scientific article; zbMATH DE number 7743075

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    Affine term structure models: A time‐change approach with perfect fit to market curves (English)
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    28 September 2023
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    credit risk
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    jump diffusions
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    model calibration
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    stochastic intensity
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    term structure models
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    time-change techniques
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