Valuation of credit contingent interest rate swap (Q4921215)
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scientific article; zbMATH DE number 6165396
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of credit contingent interest rate swap |
scientific article; zbMATH DE number 6165396 |
Statements
Valuation of credit contingent interest rate swap (English)
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23 May 2013
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affine jump diffusion process
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intensity-based approach
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counterparty risk
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credit value adjustment
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