Credit derivative evaluation and CVA under the benchmark approach
type: Item
instance of: scholarly article
title: Credit derivative evaluation and CVA under the benchmark approach
zbMATH Open document ID: 1368.91178
author: Jan Baldeaux
author: Eckhard Platen
published in: Asia-Pacific Financial Markets
publication date: 2017-08-17T00:00:00Z
full work available at URL: http://hdl.handle.net/10453/37603
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 6761454
zbMATH Keywords: credit derivatives
zbMATH Keywords: credit valuation adjustment
zbMATH Keywords: benchmark approach
zbMATH Keywords: affine processes
zbMATH Keywords: real world pricing
MaRDI profile type: Publication
OpenAlex ID: W1997433831
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DOI: 10.1007/S10690-015-9204-4
description: scientific article; zbMATH DE number 6761454