A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
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Publication:3632193
DOI10.1142/S0219024909005142zbMath1182.91182OpenAlexW2046170732MaRDI QIDQ3632193
L. C. G. Rogers, Guiseppe di Graziano
Publication date: 23 June 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024909005142
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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