Pricing credit derivatives in a Markov-modulated reduced-form model (Q2842530)
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scientific article; zbMATH DE number 6198408
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit derivatives in a Markov-modulated reduced-form model |
scientific article; zbMATH DE number 6198408 |
Statements
15 August 2013
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affine point processes
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Markov switching
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Hawkes process
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credit spread
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CDO
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Pricing credit derivatives in a Markov-modulated reduced-form model (English)
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