Multiname and Multiscale Default Modeling
From MaRDI portal
Publication:3653224
DOI10.1137/080726719zbMath1179.91264OpenAlexW2024529042MaRDI QIDQ3653224
Jean-Pierre Fouque, Knut Sølna, Ronnie Sircar
Publication date: 21 December 2009
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080726719
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
Dependent defaults and losses with factor copula models ⋮ GRAPHICAL MODELS FOR CORRELATED DEFAULTS ⋮ Utility valuation of multi-name credit derivatives and application to CDOs ⋮ Pricing vulnerable options under a stochastic volatility model
This page was built for publication: Multiname and Multiscale Default Modeling
