Jump-diffusion CIR model and its applications in credit risk (Q5263368)
From MaRDI portal
scientific article; zbMATH DE number 6459637
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-diffusion CIR model and its applications in credit risk |
scientific article; zbMATH DE number 6459637 |
Statements
Jump-diffusion CIR model and its applications in credit risk (English)
0 references
16 July 2015
0 references
jump-diffusion CIR model
0 references
reduced form model of credit risk
0 references
Laplace transform
0 references
defaultable zero-coupon bond
0 references
credit default swap
0 references
