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CDS calibration under an extended JDCEV model - MaRDI portal

CDS calibration under an extended JDCEV model (Q5031741)

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scientific article; zbMATH DE number 7474764
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English
CDS calibration under an extended JDCEV model
scientific article; zbMATH DE number 7474764

    Statements

    title
    CDS calibration under an extended JDCEV model (English)
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    author
    Marco Di Francesco
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    Sidy Diop
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    Andrea Pascucci
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    publication date
    16 February 2022
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    zbMATH Keywords
    credit default swap
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    hybrid credit-equity model
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    constant elasticity of variance model
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    asymptotic expansion
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C30
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    91G20
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    91G40
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    zbMATH DE Number
    7474764
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    OpenAlex ID
    W2887380817
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    Wikidata QID
    Q129391439
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