Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

DOI10.1007/s00780-004-0131-xzbMath1065.60085OpenAlexW2095196343MaRDI QIDQ1776023

Damiano Brigo, Aurélien Alfonsi

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0131-x

zbMATH Keywords

Monte Carlo simulationcalibrationcredit derivativesinterest-rate derivativesinterest-rate intensity correlation

Mathematics Subject Classification ID

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