CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK (Q2842534)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK |
scientific article |
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CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK (English)
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15 August 2013
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credit default
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structural model
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credit default swap
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hyper-exponential jump diffusion
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spectrally negative Kou process
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entropy-based calibration
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