A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS
Publication:5420697
DOI10.1142/S0219024914500174zbMath1293.91185OpenAlexW3124651398MaRDI QIDQ5420697
Matthew J. M. Peacock, Brendan O'Donoghue, Luca Capriotti, Jacky Lee
Publication date: 13 June 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500174
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Credit risk (91G40)
Related Items (1)
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