AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (Q3576954)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL |
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AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (English)
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3 August 2010
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credit derivatives
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credit default swap
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credit default swaption
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jump-diffusion
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stochastic intensity
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doubly stochastic Poisson process
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Cox process
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semi-analytic formula
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numerical integration
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