Modeling the forward CDS spreads with jumps (Q2893285)
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scientific article; zbMATH DE number 6048109
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Modeling the forward CDS spreads with jumps |
scientific article; zbMATH DE number 6048109 |
Statements
Modeling the Forward CDS Spreads with Jumps (English)
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20 June 2012
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adjoint system of BSDEs
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forward CDS
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HJM with jumps
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system of BSDEs
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0.8271142244338989
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0.8243057131767273
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0.7417159080505371
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0.7398034334182739
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0.7350730299949646
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