CDS pricing with fractional Hawkes processes (Q2060433)
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scientific article; zbMATH DE number 7442960
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CDS pricing with fractional Hawkes processes |
scientific article; zbMATH DE number 7442960 |
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CDS pricing with fractional Hawkes processes (English)
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13 December 2021
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finance
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credit risk
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Caputo derivatives
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self-exciting processes
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0.7561425566673279
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0.751710057258606
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0.7501510381698608
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0.7498164772987366
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