Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578)
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scientific article; zbMATH DE number 6722448
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| English | Pricing credit derivatives under a correlated regime-switching hazard processes model |
scientific article; zbMATH DE number 6722448 |
Statements
Pricing credit derivatives under a correlated regime-switching hazard processes model (English)
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22 May 2017
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hazard process
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Markov chain
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\(k\)th-to-default basket swap
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multivariate regime-switching shot noise process
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0.8519750237464905
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0.8497539162635803
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0.8400384187698364
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0.8349139094352722
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0.8240468502044678
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