A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery (Q4620167)
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scientific article; zbMATH DE number 7015461
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| English | A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery |
scientific article; zbMATH DE number 7015461 |
Statements
A reduced‐form model for pricing defaultable bonds and credit default swaps with stochastic recovery (English)
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8 February 2019
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reduced-form model
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defaultable bond
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CDS
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stochastic recovery
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PDE approach
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pricing
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0.8513174057006836
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0.8365499973297119
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0.7749447822570801
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0.7718773484230042
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