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Credit derivatives in an affine framework - MaRDI portal

Credit derivatives in an affine framework (Q2471738)

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Credit derivatives in an affine framework
scientific article

    Statements

    title
    Credit derivatives in an affine framework (English)
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    author
    Li Chen
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    Damir Filipović
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    publication date
    18 February 2008
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    zbMATH Keywords
    Affine intensity based models
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    Counterparty risk
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    Credit derivatives
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    Default dependence
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    Identifiers

    zbMATH DE Number
    5236598
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    OpenAlex ID
    W2127099805
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