THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION (Q5483441)
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scientific article; zbMATH DE number 5045372
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION |
scientific article; zbMATH DE number 5045372 |
Statements
THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION (English)
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14 August 2006
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stochastic intensity model
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credit default swap
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calibration
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option pricing
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credit spread volatility
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Monte Carlo simulation
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