Interest rate swap pricing with default risk under variance gamma process (Q2408891)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rate swap pricing with default risk under variance gamma process |
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Interest rate swap pricing with default risk under variance gamma process (English)
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20 October 2017
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variance gamma process
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interest rate swap
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default risk
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reduced form model
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structural model
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