Pricing credit derivatives under fractional stochastic interest rate models with jumps (Q2398847)
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scientific article; zbMATH DE number 6762612
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| English | Pricing credit derivatives under fractional stochastic interest rate models with jumps |
scientific article; zbMATH DE number 6762612 |
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Pricing credit derivatives under fractional stochastic interest rate models with jumps (English)
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21 August 2017
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CDS
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fractional Brownian motion
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primary-secondary framework
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reduced-form approach
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0.8319072723388672
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0.8039350509643555
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0.7912666201591492
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0.7900554537773132
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