Jump-diffusion CIR model and its applications in credit risk
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Publication:5263368
DOI10.15672/HJMS.201447455zbMath1367.91184MaRDI QIDQ5263368
Publication date: 16 July 2015
Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15672/hjms.201447455
Laplace transform; credit default swap; defaultable zero-coupon bond; jump-diffusion CIR model; reduced form model of credit risk
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