Modeling the Forward CDS Spreads with Jumps (Q2893285)

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Modeling the Forward CDS Spreads with Jumps
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    title
    Modeling the Forward CDS Spreads with Jumps (English)
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    author
    Dewen Xiong
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    Michael Kohlmann
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    publication date
    20 June 2012
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    Mathematics Subject Classification ID
    91G20
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    60H30
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    60G44
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    zbMATH DE Number
    6048109
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    zbMATH Keywords
    adjoint system of BSDEs
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    forward CDS
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    HJM with jumps
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    system of BSDEs
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