Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (Q3652704)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives |
scientific article |
Statements
Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (English)
0 references
16 December 2009
0 references
collateralized debt obligations
0 references
intensity-based model
0 references
stochastic volatility
0 references
asymptotic approximation
0 references
multiple time scales
0 references
homogeneous-group factor models
0 references
bottom-up
0 references
top-down
0 references
