Credit Derivatives Pricing Based on Lévy Field Driven Term Structure (Q5413860)
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scientific article; zbMATH DE number 6291221
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit Derivatives Pricing Based on Lévy Field Driven Term Structure |
scientific article; zbMATH DE number 6291221 |
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Credit Derivatives Pricing Based on Lévy Field Driven Term Structure (English)
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2 May 2014
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credit term structure
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derivatives pricing
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Lévy random field
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parabolic integro-differential equation
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contagion risk
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numerical examples
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