Non-linear Gaussian sovereign CDS pricing models (Q5234285)
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scientific article; zbMATH DE number 7110411
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-linear Gaussian sovereign CDS pricing models |
scientific article; zbMATH DE number 7110411 |
Statements
Non-linear Gaussian sovereign CDS pricing models (English)
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26 September 2019
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sovereign CDS pricing
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discrete time quadratic model
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Black model
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Black-Karasinski model
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method of lines
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extended Kalman filter
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