A fully non-linear PDE problem from pricing CDS with counterparty risk (Q449295)
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scientific article; zbMATH DE number 6081732
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| English | A fully non-linear PDE problem from pricing CDS with counterparty risk |
scientific article; zbMATH DE number 6081732 |
Statements
A fully non-linear PDE problem from pricing CDS with counterparty risk (English)
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12 September 2012
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credit derivative pricing
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structure model
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intensity model
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fully nonlinear PDE
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0.8128439784049988
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0.7949976325035095
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0.7799750566482544
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0.7794173359870911
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0.7597546577453613
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