Sato Processes in Default Modelling
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504860903357292
Reference34 articles.
1. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
2. Pricing and trading credit default swaps in a hazard process model
3. Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
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