Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424)
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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 |
Statements
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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