Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk (Q2842534)
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scientific article; zbMATH DE number 6198411
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk |
scientific article; zbMATH DE number 6198411 |
Statements
15 August 2013
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credit default
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structural model
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credit default swap
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hyper-exponential jump diffusion
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spectrally negative Kou process
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entropy-based calibration
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Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk (English)
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