Sato processes in default modelling (Q3063871)
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scientific article; zbMATH DE number 5827268
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Sato processes in default modelling |
scientific article; zbMATH DE number 5827268 |
Statements
Sato Processes in Default Modelling (English)
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15 December 2010
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credit default swap
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reduced form model
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Sato process
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time-changed Lévy process
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cumulative hazard
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0.7491915822029114
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0.7469972372055054
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0.7455480098724365
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0.741296112537384
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0.737127423286438
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