DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES (Q5297231)
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scientific article; zbMATH DE number 5172241
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES |
scientific article; zbMATH DE number 5172241 |
Statements
DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES (English)
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18 July 2007
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market model
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libor rates
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intensity based model
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Lévy-process
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default risk
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credit default swap
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swaption
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