Work

Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

Year: 2006

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.907384

Authors: Mark Joshi, Alan M. Stacey

Institution: The University of Melbourne

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1543441353

Cites: 13

Cited by: 56

Related to: 10