Pricing Credit Derivatives in a Wiener–Hopf Framework
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Publication:2920956
DOI10.1007/978-1-4614-3433-7_8zbMath1296.91283OpenAlexW2241032982MaRDI QIDQ2920956
Daniele Marazzina, Guido Germano, Gianluca Fusai
Publication date: 29 September 2014
Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_8
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Credit risk (91G40)
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