STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS

DOI10.1142/S0219024907004330zbMath1291.91219OpenAlexW1974849701MaRDI QIDQ5169981

Pedro Tavares, Andrew J. O. Rennie, Alexander Chapovsky

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004330

Mathematics Subject Classification ID

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

Related Items (2)

Pricing CDO tranches in an intensity based model with the mean reversion approach ⋮ SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL

Cites Work

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