Market Models of Forward CDS Spreads

DOI10.1007/978-3-0348-0097-6_21zbMath1246.91101OpenAlexW175228014MaRDI QIDQ2909992

Marek Rutkowski, Li-Bo Li

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_21

zbMATH Keywords

market modelcredit default swapLIBOR

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

Modeling the Forward CDS Spreads with Jumps ⋮ The dynamic spread of the forward CDS with general random loss

This page was built for publication: Market Models of Forward CDS Spreads