Reduced-Form Modeling of Counterparty Risk on Credit Derivatives

DOI10.1142/9789814602075_0006zbMath1327.91063OpenAlexW2483266471MaRDI QIDQ3195064

Stéphane Crépey

Publication date: 21 October 2015

Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814602075_0006

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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