Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
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Publication:1776023
DOI10.1007/s00780-004-0131-xzbMath1065.60085MaRDI QIDQ1776023
Damiano Brigo, Aurélien Alfonsi
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0131-x
Monte Carlo simulation; calibration; credit derivatives; interest-rate derivatives; interest-rate intensity correlation
91B70: Stochastic models in economics
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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