Pages that link to "Item:Q1939342"
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The following pages link to A fractional credit model with long range dependent default rate (Q1939342):
Displaying 8 items.
- Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market (Q256747) (← links)
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models (Q2137510) (← links)
- COVID-19 and credit risk: a long memory perspective (Q2138614) (← links)
- Affine representations of fractional processes with applications in mathematical finance (Q2419969) (← links)
- Conditional Distributions of Processes Related to Fractional Brownian Motion (Q4918570) (← links)
- Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk (Q5407022) (← links)
- Bond portfolio optimization with long-range dependent credits (Q6175328) (← links)
- Interest rate derivatives for the fractional Cox-Ingersoll-Ross model (Q6597649) (← links)
