Jump-diffusion CIR model and its applications in credit risk (Q5263368)
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scientific article; zbMATH DE number 6459637
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| default for all languages | No label defined |
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| 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)
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16 July 2015
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jump-diffusion CIR model
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reduced form model of credit risk
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Laplace transform
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defaultable zero-coupon bond
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credit default swap
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0.8042407631874084
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0.7922102808952332
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0.7790106534957886
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0.7732570171356201
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0.765108585357666
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