Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk |
scientific article; zbMATH DE number 5763884
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk |
scientific article; zbMATH DE number 5763884 |
Statements
Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (English)
0 references
5 August 2010
0 references
swaption
0 references
CMS
0 references
affine term structure model
0 references
convexity adjustment
0 references
credit derivative
0 references
survival contingent measure
0 references
0 references
0 references
0.7717298269271851
0 references
0.7547415494918823
0 references
0.7516776919364929
0 references
0.7457118034362793
0 references
0.73897784948349
0 references
