Yongfeng WU

Jump-diffusion CIR model and its applications in credit risk

Jump-diffusion CIR model and its applications in credit risk

Hacettepe Journal of Mathematics and Statistics

2014-Cilt: 43 - Sayı: 6

1095-1106

jump-diffusion CIR model, reduced form model of credit risk, Laplace transform, defaultable zero-coupon bond, Credit Default Swap

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