Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model-Reference-Cited by-同舟云学术

Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model

Published:2011-01 Issue:2 Volume:208 Page:95-108
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Chiarella Carl,Fanelli Viviana,Musti Silvana

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference29 articles.

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